It's only natural to feel a connection to characters if there played very well by the actors. In this case it's the Godfather, so great actors and acting. I can't remember how I felt seeing the deaths. They don't really affect me any more as i've seen the films countless times. But the death of Mary still is a very powerfull scene to me just because of the directors vision of the scene. The silent scream etc.

Don't people say the same for Bambi? I've never seen it but heard about people crying through it.