Just an idea here...

We know (or at least suspect) that body=shell, heart=emotion, soul=memories...

Well, one thing that I noticed is that the heartless are creatures operating solely on instinct...
Whereas nobodies are sentient and can choose to act (and tend to act in an "evil" manner)
What if the soul knights (as my friends and I have dubbed the third type of being) are also sentient, but choose to act in a "good" way?...

As to why Roxas appears to feel emotion, he is unique. Note that Namine also seems to experience emotions. If I'm right, Axel was affected by his proximity to the two of them, and started to regain some sense of his original self, including a small measure of emotion.