I've rarely, if ever, been emotionally invested in a work of fiction, though I get what you mean. The game can be quite sad depending on the choices you make, as every route appears to be merely different shades of grey. And I've only completed one route by now!
That said, I have no problems with the sadness. The entire Fire Emblem series has had difficulty making it seem like your choices have consequences in the past, and this game succeeds where others have failed. True, a clear cut good vs. evil story is good every once in a while, but for now I like the grey.