I'm right there with you. My heart hurts every time I have to go back to the apartment for the last time. Always try to "save" her knowing damned well I can't change things.
If you know Lincoln's character, he has a soft spot for women and children. He's noble to a fault almost. Remember, he didn't kill Olivia Marcano despite her being A FUKKING MARCANO! He didn't even really try to kill Bonnie. He dodged her and countered. He also didn't hate the Vietnamese woman who tossed the baby in the water.
Anna was a blameless woman who got eaten alive by the hellhole that is New Bordeaux. A girl who's life had just started and then BAM, cults, murder, rituals, murder drugs, murder and rape. How could you not feel something for what Anna went through?