While a lot of people like how the Dark Knight quests explore how your character reacts to the event of the MSQ, I do know people who don't like how the Dark Knight quests force your character to react emotionally in a certain way as that's not how their personal WoL would react to the MSQ. They feel like their character is being railroaded in them.
Which I can understand. As much as I like the Dark Knight quests and what options they give the WoL's character, they aren't canon for my character. She's not dealing with that kind of emotional breakdowns. What she is dealing with is being someone who doesn't have problems using Allagan Summoning Techniques and tries to use Bahamut's borrowed power as often as possible and how a lot of the Scions/Ironworks/Sharlayans are concerned about the effects of that. Let's just say she, Alphinaud and Cid have had some rather spectacular arguments about it. None of that is in the game either, it's stuff I can see logically happening as a result of different character's canon personalities.
I just think if SE tried to explore our backstory more, it would lead to more constrictions on who our character is instead of less. One of the things FFXIV has never been very good at is letting us make choices that affect the narrative. None of the choices we make effect the outcome in any way, they just give us two different reasons we could do the same action. In light of that, I'm very glad they don't go into why/how the WoL got to Eorzea in the first place. I (and a lot of other players) already have that figured out.