I think he's talking about identifying with the characters. He's trying to understand the difference between imagining himself in someone else's place and actually being in their place. Maybe you could talk to him about empathy and how it's normal to identify with characters in books or movies. It doesn't mean that he is actually becoming the characters. He knows what's real and what isn't.
I think it's important to normalize his feelings. I don't think what he's experiencing is strange, but he is reflecting on it more than most kids his age would.
