You pretty much nailed how we all felt about the situation.
My siblings still consider their dad to be their dad. I also asked my dad what he thought of them and he said that they had always been his favorite nieces and nephews. Haha, he did mention that it wasn't BECAUSE of the biology, but because he just always really loved them and they were around us more than the other cousins.
One thing that I struggled with in my youth though was that my dad was an AWESOME athlete. All-American WR (JUCO/1AA). I never got his athletic genes, but my cousin/brother did and he also was an All-American WR (JUCO). So I was always kind of jealous even though he was my best friend too. Then when we learned the truth, it was like "okay, yeah. That makes sense". Haha
I was always hard on myself for not being athletic like my dad. But he never was at all. He always just wanted me to be happy and I knew that that is what he wanted for me.
He kind of considers the others to be sort of "Deluxe-nieces/nephew" and considers me to be his only "child".