Same way I feel for Faith even when she is doing awful things. The actors bring sympathy to the roles.How does anyone feel bad for Spike? he's one of my favourite characters but he's literally a soulless vampire with an obsession with her.
At the start of the episode though they don't know that and he's just trying to fit in. As he says to Buffy he was right there fighting the fight.
Anyas mocking you may have hurt his feelings is pretty nasty considering how she felt she'd been treated only a couple of episodes ago
Lol Buffy brings him up at her house and goes right to him when she thinks Dawn is missing too