I'm the same way. My wife actually gives me shit for it because she doesn't understand how I can't have more feelings for those around me. I don't think I'd shed a tear or even feel that emotional for anyone in my extended family dying. Just my wife and kids. Makes me question if there's something wrong with me.
She can tell me some sad real life story and it doesn't affect me. But movies, shows, books, and games can have me tear up or bawling.
Yea the bagpipes playing Amazing Grace gets me for some reason. If they played that at a funeral I might cry.