i think the only reason why walter felicity loves unicorns so much is because he's never seen himself as long-lasting. if you think about the movie the last unicorn, this idea makes sense. 

even though he's a son of a bitch and a self-centered freak he's still such a doubter of anything that sports the slim possibility of uniqueness over the whole of the human race. he's insecure, lacking, and didn't expect much from himself until he became socially popular by proxy of his job title. he's always had the internal plan to flee the earth when things got even a tinge worse than it already had been before. all his life he has been stuck in a hole of dissociative helplessness and the only way he can make up for it is by relating himself with something objectively beautiful.