I agree with Charleen. It's just a difference in personalities. Some people are more easily moved by other people, etc., so are dogs.
Neither of my Cavs is sympathetic if I'm upset. Nor is my shihtzu. They'll walk away if I'm crying. My Eclectus parrot, however, will cry along with me. When I was bed-ridden a few years ago with a blood clot Henry's cage was in my room. His cage had to be covered everytime the nurse came to visit because he would squawk and growl at her. He didn't want that stranger touching me.
My first shihtzu was very in tune with my feelings. If I cried, she was in my lap. If I was upset over anything, she was upset too. My husband said he could always tell my mood by watching Bonnie Jean.
Count yourself as very lucky to have a companion who is so aware of you and your feelings. They can be a wonderful comfort.
RIP Wallis, John Robert, Tibby & Pip
Mom to JoJo, Roxie & Linguini (Cavaliers)
and my birds Moji (Senegal) and Walter (Blue Front Amazon)