The reason people conflate things happening to their character with things happening to them is because the character is viewed as an extension of the self. I realize this is entry level, but bear with me.
The idea that character is an extension of self is baked into the game design. As an example of this, most of these games reward your character with experience points or whatever for good roleplaying on your part. You, the player, are expected to want your character to ultimately win. Notice how also in most games, you only play one character.
The only way to escape this is to play worlbuilding games like Microscope, but they're too out there to appeal to most people. So we're all stuck with the player-PC conflation, and yes, we are all guilty of this deep down.
