I think people who "identify with" those characters know they're bad but just think being bad is cool (because, you know, they're depicted as exciting and cool looking and badass). I mean, the word badass itself is supposed to have a negative connotation but actually doesn't. I think it's more about American mythos/propaganda overpowering whatever critiques are in some piece of media. And some people just want to have some kind of avatar or character they identify with who is 'edgy' (I mean lot of people who like these folks, you know, are actually like these characters, and it probably doesn't matter that they are negative depictions).

If I watched an anti-communist movie that portrayed Lenin as some kind of evil badass, I would probably still root for him. I saw some scenes from "Olympus has Fallen" and found it funny how badass the Koreans in the movie are (even though they have them commit a bunch of random nonsensical crimes). I don't think any of us would watch some stupid reactionary movie and be like "I've been owned, we must abandon communism" because of some depiction of communists. It's probably the same way for people who are actual sociopaths or wannabe gangsters.

And of course, as ch*po, says, nobody changes their mind or learns anything new through movies and stuff.*

Edit: *Unless you make it extremely obvious.