IT’S SUCH A DILEMMA. Except not at all, because I am not a rational being.
From an analytical perspective, I think I’m so invested in their relationship because they are (to my mind) clearly the two most interesting and well-developed characters on the show, and I think viewers generally tend to gravitate toward those characters and want them to get together if it makes any kind of sense for them to do so, because that makes for the most interesting viewing for us. Even though Don is a shit to Peggy all the damn time, the moments when they connect are easily the most powerful of the show, which is all that we as viewers want.
Plus, Peggy is basically the only person alive who really gets Don - at least, I think she is - and still basically loves him (not in a romantic sense), which is an incredibly profound thing. It’s a combination of her knowing certain things about his past that he hasn’t shared with many people - though Megan obviously knows the basic outline of the story - and her being enough like him that she understands the import of those things. She obviously gets very angry and frustrated with him very often, and I think there are probably many things about him that she hates, but I really do believe that she loves him - she understands him so well that she can’t really help but love him. And as much as Don can be a huge asshole (see: most of seasons 2, 5; large portions of seasons 1, 3, and 4), I think he is still a fundamentally sympathetic character, insofar as we (or, at least, I) do want him to be happy, to come to terms with himself, to succeed (not professionally but personally).
Meanwhile, a Don Draper who could get together with Peggy Olson as she is now (as opposed to, say, a few seasons ago) would basically be the best possible Don Draper. Perhaps an impossible Don Draper, sure - but the version that exists now, who is married to Megan (whom I like enormously, but who needs to get out of that marriage right the fuck now), is really far from that ideal.
Really all I want is for Don and Peggy to go out for coffee on the regular for many years while Don slowly gets his shit together and realizes that she is the most badass woman of all the many badass women he has known, and then spends a long time convincing her to marry him.