I have a huge crush on Moondancer but also a little feelings for Twilight.
If we're being serious, then all kind of love is love for a fictional character: The image of that person that you create in your imagination based on your knowledge of them within their social role as romantic partner. You cannot really know a real person except for themself since you don't have access to what they do when you're not around and their internal thought processes. And maybe even they cannot truly know a real person, because who knows themself well?
Therefore, developing intense romantic feelings for a character from a fictional* narrative meant for entertainment, isn't that far off.
*virtually everyone, including those who have pony waifus, assume those ponies are fictional, and I stick to that now for the sake of this argument. Though, I actually believe those ponies are real.