It's not exactly that they're sympathetic or likable, although that's a component. Most extreme example is Trevor Philips from the Grand Theft Auto franchise, who's a cannibalistic, violent psychopath that's funny to watch but far from sympathetic. Even beyond the player's control, he gets people addicted to meth and kills individuals at random. Some easily offended politicians complain but the general consensus isn't to take umbrage with the writers behind the character.
The thing is, even in a game like Grand Theft Auto which focuses around doing crimes, it doesn't treat crimes as positive things. Police come after you, people scream and run or attack you, and every protagonist from the games are aware what they're doing is wrong (although most treat it as a way of life they're forced into). They also don't do crimes for just no reason. Jess' comic, however, portrays theft as an exciting experience without repercussion. Them stealing is a complete non-sequitur to what preceded and follows, shown as a coping method for a creative block, and portrayed as mentally stimulating act. In addition, Jess decided to admit that it's meant to reflect their experience shoplifting and proceeds to complain about people criticizing them; versus the writers for Grand Theft Auto never stole a car nor tries to defend the actual crime of grand theft auto as a harmless activity.
