Because the world that he lives in, despite all of the machinations and ulterior motives of characters and "lesser of 2 evils" scenarios, is actually still incredibly black and white. It's OUR world that has nuance. We like Rorschach because he's principled and we wish we could treat our problems the way that Rorschach deals with his problems: kicking the door in and punching them. In Watchmen, everyone gaslights Rorschach to believe that he's a crazy psycho who isn't onto a huge conspiracy. Characters in Watchmen are very much good or evil but possessing complex motivations.