Very true. As an adult viewer, it's plain as day that Jay is a really desperately pathetic Walter Mitty-type character; but I'm sure a lot of younger viewers would take his bravado at face value and, if not admire him, at least sympathise with him.
That said, I recall that there was a famous comedy character - I forget which one, maybe a Harry Enfield or Paul Whitehouse creation (might have been Loadsamoney?) - who was clearly meant to be an unpleasant object of pity and ridicule; but whoever the creator of the character was said in an interview that, to their alarm, people - including adults - genuinely admired and aspired to be like the character, who was thus soon after quickly retired.