I don't care where you're from. I think it's different for each individual. I think the connection comes with emotional investment. If you've got up at 3 in the morning to watch us every week cos you're on the other side of the world and we win/lose the league (or get relegated) on the last game, you're probably going to feel similar amount of joy/pain as those of us lucky enough to go to games, or had City choose us through our location/family.
However, having had City forced upon me, I'm not sure about how the initial choice happens. I enjoy NFL and I'd like to support a team but I feel I need something I can grab hold of to give me that first affiliation and therefore invest my time in that team. Like if someone tapped me on the shoulder and said 'here you are mate, you've just dropped your wallet' and he/she was an American wearing a Kansas City Chiefs top, then I'd have this fledgling emotional attachment with KC and I could perhaps start to grow it.
I don't think the connection comes with how much you spend in the internet club shop.