In Parade, the sympathy question is interesting.
For comparison: during our second weekend of the run, Pleasure Guild's Beauty and the Beast (which has many of my J&H friends in the cast) opens for its' run. In that show, the villian is clear. It's Gaston. At first, he seems like a simple egotistical guy, but we don't like him, because Belle doesn't like him. And we like Belle. He becomes truly evil later on, but by then we've already written him off and are actively rooting against him.
In Parade, it's more...complicated.
The first "I Want" song is Leo's(theater term: an "I Want" song is a theatrical convention, usually where the main character gets up and sings about what s/he wants from life. Hence, the term. Coincidentially, one of the most obvious "I Want" songs is the "Belle" reprise in B&B, when she sings "I want adventure in the great wide somewhere"), "How Can I Call This Home?" Normally this is the song that wins the audience's affection. (i.e., "The Wizard and I" from Wicked or "I Dreamed a Dream" from Les Miz.)
But, that's not really that case here. Leo is talking about his dislike of people that, at this point, seem pretty nice. OK, yeah, they're "celebrat[ing] losing a war", but they seem like friendly folks.
So the audience's sympathy is torn. You should like Leo. But really, do you? Do you like him at all until we get to the middle of the act? I don't know. It's hard to, because he's just rude to everyone--his wife, the prison guard, even Mary. Brusque would be a better word, actually. He's just not nice.
Then, when you do feel sympathy for him, most likely by the end of Act I, you don't know how to feel about the townspeople in general. (Not specific characters.) You can identify with them to some extent (I hope). They're normal people, not unlike people you would meet today. If you've seen the movie A Time To Kill, you've seen how mobs can form in present-day societies and attempt to influence and corrupt the legal process. And while we'd all like to say that we'd be more high-minded, would we really be? If it was your daughter, your friend, your neighbor who was raped and beaten and murdered? I don't know. Mob mentality is powerful.
So you like Leo, and you probably intensely dislike certain characters, like Watson, for example. But how do you feel about everyone else? How do you feel about the Factory Girls, who are very young and just lost their best friend? How do you feel about Newt Lee? Or the governor? Or the judge? Or Frankie? Or even Dorsey, the prosecutor?
It's a complicated question. If you go see the show, I'd be interested in knowing your reactions. My job, as an actor, is to create a three-dimensional character that makes you unsure how you feel about me. If I've done my job right (if we ALL do our jobs right), there are no easy answers.