For as long as I've been watching Futurama, it seems to me that Bender has somewhat of a sensitive side to him. Examples: Bend Her Bender was crying about Calculon supposedly dying. And that dream Leela had in The Sting" where Bender was crying at Fry's funeral. Maybe Bender really would feel that way if Fry died.
Also in Time Keeps on Slippin' when Ethan Bubblegum Tate asked him if he was 'funky' enough to be a Globetrotter, Bender almost cried, "No!" Maybe that empathy chip must have went to his head, somehow!