You're right, in many respects. I never got an emotional response from the big moral choices, (all 3 of which are boring "kill or don;t kill" scenarios), which the first Bioshock didn't have a problem with. I think Bioshock 2's main problem was the lack of interesting small villains. Sander Cohen, as you pointed out, was great. A very interesting character. You can see and hear what a giant loon the guy is, and you get a genuine emotional response. Bioshock 2 doesn't really have that, at any point.
Not that it's a bad game, at any rate. I personally thought the combat was FAR better than the first, the upgrades and weapons were more interesting, although the fact that I was always swimming in money and ammo wasn't giving me much of a "survival" vibe, it was, in retrospects, a better game. And the ending, OH GOD, THE ENDING! Seriously, that was some good stuff, right there. Basically everything from when you are... uh... tied down (keeping this as spoiler free as possible) was pure, solid, shining, diamond-encrusted platinum.