So you just started watching this movie about a guy who's powerful, incredibly talented, stunningly handsome, filthy rich, famous, long-lost royalty, and an Ideal Hero to boot. Sounds like your garden-variety Gary Stu, right?
Except that you don't mind at all. Instead, you're seeing yourself in their shoes and enjoying it. After all, everyone likes to fantasize about being awesome once in a while. You can argue over whether or not they're too self-centered, but they're definitely an Escapist Character.
While fantasizing about being another person (let alone a fictional character) can be unhealthy, especially in excess, some of the most widely loved characters in existence are Escapist Characters with any number of Common Mary Sue Traits. While a badly written Escapist Character can come off as an Author Avatar, the key difference between the two is that while the former is the author's wish fulfillment fantasy, the Escapist Character functions as the audience's wish fulfillment fantasy.
Some members of the audience may identify with a character and others may not identify with the same character. Whilst many audience member's Wish Fulfillment fantasies have common elements, they are not all identical. Thus, the distinction between this and a standard self-insert is very much a subjective matter.
Please remember that conceptually, neither Wish Fulfillment nor Escapism are bad. Compare the Showy Invincible Hero. See also: I Just Want to Be Normal, I Just Want to Have Friends, I Just Want to Be Special, I Just Want to Be Badass; wishes that are fulfilled by escapist characters.
Compare/Contrast the Expectation Lowerer, a character that allows you to feel awesome by being much worse than you are; and This Loser Is You; a character who the creator feels is a representative of the audience. This trope has nothing to do with the Escapist film or website.