I think I consume stories in much the same way you do. I will often think about how I might have done things differently or get frustrated with a protagonist who seems to be making all the wrong decisions- I'll even get second hand embarrassment- but these are all things I experience when talking to friends about poor choices they've made.
Maybe the best way to describe it is that I position myself as a friend in relation to the protagonist (which, now I think about it, also explains why I find it so difficult to enjoy reading stories about protagonists I can't empathize with).
For example, conceptually speaking, I understand that the show "Breaking Bad" is well made. I watched the whole thing with my partner, who really enjoyed it. But personally, I often found myself struggling to remain engaged. All of the characters I was actually empathizing with either got killed or had comparably little screentime- whereas several episodes in, I could not even remotely empathize with Walter White. So at a certain point it no longer mattered to me that the series was well shot, that it touched on interesting themes or that the dialogue was cleverly written. It was like listening to that one friend (everyone's probably known someone like this) who repeatedly makes terrible decisions, refuses to listen to any advice, and then only ever speaks to you to complain about them with something akin to pride- as if they derive a strange masochistic joy from it. Eventually, that friendship will start to feel toxic and one-sided. I suppose in a manner of speaking, I felt the same way about that show.