My wife explained it to me once like this: movies are intimate - they're in your home, and thus actor is invited into your home. You react to them & relate to them. It's almost like you know the person, because you get sucked into the story world. Particularly for nice people who are relatable in movies, when they die IRL, we feel it as a loss, because we are familiar with them. I'm a fan of the Fast & Furious series; the news of Paul Walker's death hit me surprisingly hard, I'd imagine because he was sort of like the normal relatable dude in the movies & seems like a legit dude in-person. I think he was in like half a dozen of the movies, all of which I've seen several times. Same deal with Black Panther, I've seen it multiple times, and Chadwick in particular seemed like a pretty cool dude.
I remember when Michael Jackson died, it hit me surprisingly hard as well. Aside from the various issues surrounding him, he was an icon growing up, everyone always did the Thriller dance at Halloween parties, we all did the moonwalk as kids, he was just such a part of the fabric of grade-school pop culture growing up in the 80's & 90's. It's an odd thing to feel a loss of someone you've never actually met, but are still a part of your life, whether you've spent hours watching their performances or listening to their music or whatever. People like Chadwick contributed to our entertainment, which is something most of us hold dear, and I think that's a big part of the reason it hits us so hard...they're part of our downtime that we find enjoyable & suddenly they're gone