In Origins, it depended on my Warden's background.
Human Noble, no question that they were loyal. The Dalish Warden cared only in as much as it was their home now that their clan had left, but knew that many other clans still there were under threat just as much, and if they failed, the Blight would spread till no-one was safe. The City Elf simply cared about the Alienage Elves and felt very little loyalty to those in power, as long as the person in charge left them alone and treated them well. The Dwarf Noble Wardens felt more loyalty to Orzammar (as screwed up as it is) even despite being exiled and any loyalty to Ferelden came second. The Dwarf Commoner meanwhile went completely native as soon as they hit the surface, screw the stuffed-shirts in their hole in the ground! As a Mage of the Circle Tower, the Elf Mage felt loyalty to Ferelden by default, although the Human Mage remained a Marcher at heart and felt loyalty to Ferelden only because they'd been in the Circle there for so many years.
In DA2, I felt Hawke always remained loyal to Ferelden as their homeland and identified themselves as a Fereldan first, but grew to feel a kinship with the Free Marches over the course of the game, particularly Kirkwall as the birthplace of their mother, ancestral home of their family and the location where their parents first met. Despite the Blight being over in less than a year, like Aveline, they'd put down enough roots that made they want to stay.
As for the Inquisitor's relationship to Ferelden, it really depends what background (if any) we'll be getting?