I think there's a much simpler explanation, much of fantasy, and especially the Malazan series, is populated by characters like Karsa who cleave their enemies in two, or chop off an enemy's penis and choke him to death with it (still perhaps the most spectacular death in anything that I've seen or read). So compared to characters like that, Felesin comes off quite poorly. Of course she has good reasons for being the way she is, and no one can truly expect her to be any other way than she is. But that doesn't mean that what she is is pleasant or enjoyable to see or read about. The lack of empathy possibility is much more likely, though even there I think the likelier explanation is that fantasy is an escape, and if people wanted to see characters that are annoying or whiny (even if those are reasonable and proper reactions) they'd simply spend more time in the real world.