[Belegorn]

I think, Fëanor's great love was to his father. His death clearly hurt him, and no less by the being he hated most in Arda, Morgoth, "none of the Eldalië ever hated Melkor more than Fëanor" [Sil, p. 71]. It is known that Finwë gave all of his love and most of his thought to Fëanor who he went into banishment with after Fëanor pulled a sword out on Fingolfin. As to Fëanor's own feelings to his father:

"his father was dearer to him than the Light of Valinor or the peerless works of his hands; and who among sons, of Elves or of Men, have held their fathers of greater worth?" [p. 88]

There were some circumstances at work against Fëanor that were a bit abnormal. His mother died and his father remarried and wanted more children. It's said, "if Finwë had endured his loss and been content with the fathering of his mighty son, the courses of Fëanor would have been otherwise, and great evil might have been prevented" [Sil, p. 69] Also he created of the most magnificent gems in Arda that were envied by the mightiest being in Arda.

If he held those feelings about his mother's death [that he was the cause] he held them also for his father's demise, thinking "in the madness of his rage and grief that had he been at Formenos his strength would have availed more than to be slain also, as Melkor had purposed." [Sil, p. 88]

Again, his circumstances were a bit abnormal. He loses both his parents in the land of the deathless. He lost his greatest creations. I think in the end he loved his father more than his sons, and even though he knew his sons could never hope to topple Melkor he told them to keep the Oath and avenge him. I guess it's something to do with his greatest love and his greatest hate.