Everyone is so different. For me, if I went to a friend with a problem and their response was, "That sounds really tough for you!" I wouldn't like that. I want to be hearing their advice or thoughts on the matter. But, the 'that sounds really tough' response is one that's advocated as something a lot of people *do* want. I am an 'advice giver' and people do approach me specifically to say 'Tell me if I'm being an idiot' or similar. But, I wouldn't be that blunt with anyone who I don't know wants that kind of response. I'm not good at being a 'pure sympathy' kind of person.
As for giving sympathy when someone's problems are of their own making, I think it depends. If someone, say, broke their leg or was fired because of a mistake they made, they *know* what they did. Me saying 'I told you so!' is not helpful in the slightest. But if it's a repeated situation, and the person keeps coming to me with the same problem resulting from the same thing they're doing, I think it's reasonable for me to say something more than 'poor you'!
It's also a matter of time...if a friend calls me crying because she just got dumped, I'm not going to immediately jump into giving advice about what she could've done differently, what she can do now, and so on, I'm going to just let her talk through it. But if it's 4 months later and she's still crying about the same guy, I don't think it's rude to suggest something.