I don't see anything wrong with this.
Even if a character is fictional they still have a personality and an appearance which can be attractive to some.

My longest crush was (and probably still is) a game character. Not FFXIV but still a fictional character nontheless.
I also had a huge crush on Papalymo when I was playing ARR and my bf was admiring Aymeric for the entire HW :'D

Unless someone is completely obsessed with a character I don't think it's strange to be attached to one.