Emotional attachments to fictional characters is actually quite a common experience - they call it parasocial interaction. It happens a lot with books films, soaps/serials. I was devastated when Gandalf "died" in Lord of the Rings and had to force myself to read on - it was the same with Dumbledore and Sirius in the Harry Potter series.
I remember being very saddened when Steven left in 2008 after being disowned by the Beales - while I understood that the second time round it was his own fault (he was ill back in 2007) I had developed a sense of empathy with the character, but as long as you are alive you always have a chance - you can go elsewhere, build new relationships etc and time can heal family rifts in the majority of cases.
Back to soap character exits - I would agree with Paul because though he was a background character, it was appalling that he died the way he did

and all because he loved men. Those idiots hat can't accept same sex love might as well discriminate against vegetarians, vegans and people who are left handed - it's that senseless.
John Stape and Tony Gordon (after he showed guilt and remorse and fell in love with Maria) would be two other exits that were in a way saddening as their actions were a waste of their lives. I would also add Dennis Ricman and Tom the fireman.