I've never thought about this with TV, but I've definitely felt it with the radio. There's something about being tuned in that feels like I'm connected to others, or part of a community. If I switch to listening to my own music (even if it's still through an online service like Spotify), it feels disconnected.

I'm not sure how useful this feeling is, and so it may die out, but I wanted to acknowledge that you're not the only one to notice it. :)