Why would you not want to show your support for a player as well as for your club? My favorite players gain that status through what they do on and off the field. By wearing their name and number I demonstrate that I admire their work effort as an athlete and their integrity as a person. I show the club that I value what that player brings to the team and the community. As an individual I am more likely to wear the jersey of one of the more "workingman" players. Humbleness, dedicated work ethic, good attitude, positive role model, appreciation for the gift and opportunity you have been given, these are the things that earn you a spot on my back.
It is very telling that in the UK this would be seen as a reason for mockery and derision. But then again you have always been a very emotionally twisted lot when it comes to folks who have risen above the rabble. Like you said, "build em up and knock em down". It reminds me of the nobility wearing thread-worn suits so they don't attract attention to their status.
It should be okay to be successful but don't let it ruin you as a person.