To kinda wrangle things more on topic with the OP, I think there's 2 factors.

1. You the reader have more context for what the protagonist is doing. Even if they're doing something wrong, you know their reasons (heroic character flaw, yadda yadda). This can make it difficult to put yourself in the shoes of a character who *doesn't* have that knowledge.

2. It's easy to root for the guy whose story you're reading. I love the recent Thrawn books, for example, but there was a point in the first recent book (Thrawn) where it struck me "I'm rooting for Thrawn, Imperial Admiral, to uncover the Rebel operative he's been playing cat and mouse with for half the book. Huh. This is written *really well.*"