I used to feel weird about buying villagers too until I realized they aren't real and don't care if they've been "bought". Now when I pay for villagers I think of it more as a tip for the person being kind enough to let me invite the villager into my town. Especially if they took the time to TT the villager out for me.
I still give all my villagers away for free though, just because I like to. I like having to earn my bells, selling villagers for millions just seems too easy.
Regarding feeling more "attached" to villagers that originated in your town/campsite, well that's up to personal preference. I think it's adorable when villagers mention their old towns. As someone else said, it makes them feel more "real", like they had an actual life before I met them. (I think it's funny when villagers like Roscoe and Hazel, who originated in my town, talk about doing things "back home" -- I'm like, wait, where did you come from again??)
I do feel a little weird sometimes about getting villagers from cycle towns though. I cringe a little whenever Kyle mentions his old mayor "sjp" from "mfs" or whatever, because it reminds me that he came from a cycle town where the owner couldn't be bothered to give the mayor/town proper names. But it doesn't bother me to the point where I can't feel connected to him, or the other few villagers I obtained from cycle towns. I just tell myself that I rescued them from towns where they otherwise would've never gotten the love or attention they deserve.