Is it wrong that I don't enjoy spending time with my family?
Not necessarily, why don't you enjoy spending time with them?
They've always been so critical of me and they still are.
That sounds like a difficult situation. Talk to your family and tell them how you feel. It seems like you need to tell them how their behavior has made you feel.
I don't think they'll listen to me, they never do.
It sounds like distance may be the best thing for your relationship with them. Explain how their words have hurt you and that you need some space. If they don't understand that, then talk with a therapist about the situation.