The best response is:
It creates sympathy for Mitty since readers recognize that his fantasies show how he'd like to be, not how he actually is.
This contrast between Mitty's view of himself—filled with dreams of adventure and heroism—and the reader's understanding of his mundane and often pitiful reality generates sympathy for his character. While he fantasizes about being a brave pilot, skilled surgeon, or other heroic figures, he is actually portrayed as a somewhat meek and subdued individual, which highlights his dissatisfaction with his life and deepens the reader's emotional connection to him.