Yeah, it's fascinating. There's nothing wrong with glory hunting if you follow a sport casually, though. Supporting winning teams is more fun than supporting losing teams, if all you do is watch the super bowl and a few games in the postseason every year. But I agree about the geography.
You might start out following the Bulls as you did, but then you've actually made the decision to take on the other teams as well. Unless the city doesn't have a team in a different sport, then it's fair game.
I started out supporting the Boston Bruins in the NHL in the mid 90s, and got "lucky" when I started watching NFL and NBA (and some post season MLB) years later. I didn't even know Boston was a part of New England at that age.
I wonder what happens when teams suddenly move to a completely different city, though. Like the Sonics moving to Oklahoma City, or the Rams moving to St Louis and then back to LA again. Do you keep supporting them, or do you try to find a new team? If so, how do the people from St Louis choose a new team? And Seattle, do they suddenly support the Blazers because of the geography? Surely not?
Tough to stay loyal if your team suddenly moves 2000 miles away. Would I support Manchester United if they suddenly became Budapest United? Probably not