I can't get lost in a fictional world if I don't connect with it on some level. Characters don't have to be exactly like me, or similar to me. But they do have to make me invested in what happens to them. That's a connection.

Getting caught up in the nice beat of a song is a connection. Admiring someone's talent for art is a connection. Being entertained is a connection, enjoying the acting or special effects is a connection. Being curious about another culture is a connection.

It's not necessarily about being self-centered.