Firefly's first interaction was to ask a favour of us. That might sound bad, but typically peoples' opinions improve of people who ask for help.
She paid us back by trying to share the joy of the dreamland. She tried to protect us from Sampo. She trusted us enough to confide in us. We barely escaped a life or death situation and then things went downhill.
Despite confiding some secrets, Firefly still had more to tell. Firefly's dream was cut short before her story could finish. We were able to investigate those last moments, but we might never know what truly happened leading up to now.
Buuut people loved Firefly before she even existed in-game. Many other characters have also gotten the same rabid fervour from just pictures and short descriptions. So there's the superficial reasons as well.