That was entirely the wrong thing to say. Because as Cassandra mentions that Varris enjoys making his characters suffer, Cole just looks fricken distraught. What?! Why would he do that?! That's...cruel and selfish and doesn't make any sense and again, why would he do that?

"But it's wrong," Cole definitively states. Because it is! It's cruel of Varric to do something like that when he could write them happy. And if he had to write them suffering in the first place, at least he couldn't write so much suffering.

It's also possible that Cole keeps mixing up if characters in books are real or not.