Not usually, but if the 'best girl' goes through some sad moment and such in the sidelines, I'll feel really bad about it.
I was so sad and wanted hug Saya in Miagete Goran so many times when the game makes you feel bad when you don't pick Saya's route, but that didn't cripple me from playing the other route's
Other than that, it's the first time I've felt bad for characters in VNs for playing other routes