Are they mostly fictional or are they mostly historical?
It's not an easy thing to answer, and its answer may or may not influence our feelings towards those characters. After all, we read historical fictions mostly for fun. If we want real history, it's better to check the nearest history book available - and there are tons of them. The real pleasure in historical fictions depicting historical characters is imagining people like us making decision and the things that they underwent in consequence of that decision, reading and imagining that those people, great people in history were just like us in many aspects, and yet they were great.
"Some are born great, some achieve greatness, and some have greatness thrust upon them."
When reading historical fictions, sometimes it's difficult to separate the real person with the person in the story. If the story and plot are well-researched and well-prepared, or if there's any slight historical basis to believe in the storyline, it's even more difficult to separate fiction from reality.
For instance, long ago I watched a film (I can't remember the title) about the relationship between Sir Walter Raleigh and Elizabeth I. In that film, Raleigh and Elizabeth I had a sort-of romantic relationship, platonic maybe, but they adored each other, and yet their hands were tied because it's against any political interest for the Queen to marry Raleigh. Just impossible.
Anyway, long after watching that, I found that Raleigh was actually a poet (and a captain, but I knew it from the film). Guess what I found.
"Passions are likened best to floods and streams: The shallow murmur, but the deep are dumb;"
Suddenly the film seemed real. I have a proof now, don't I? My diary entry says, "If it's true that he wrote these lines for Elizabeth I, then they would be some of the most beautiful lines about unrequited love ever written in mankind's history." The same thing happens in so many other instances where the fiction and the history are so intertwined that it's impossible to dismiss either once you read both.
So, which one do you like best, the fictional or the real people? For me, it's safer to say that I love somebody and somebody as depicted in this and that book. Real persons are more complicated than fictional characters, and it's impossible to scrutinize their hearts and feelings now. Their qualities are far from certain and the real them might not be what they seemed. But fiction, fiction is what we believe to happen, what we believe existed. It's up to us to judge, to analyse, to hate and to love a fictional character, without really offend the real one dead.