Shouldn't sympathy for the target of criticism kill the fun? Like you imagine doing something hurtful, then you picture the other person, hurt.

You're expecting lots of people to perform the extra work of imagining that.

But thrilling?

Yeah, many people get positive feelings from being swept up in crowd behavior, like laughing at a comedy or applauding at the end of a great performance. Booing is a similar behavior.

Personally, I think it's just that it's considered acceptable feedback. It's appropriate to laugh, cheer, clap, or boo depending on context. The performers get honest feedback from the audience.