Utsusemi and Sleepga II are no different from me learning Hallowed Ground at the end of Keeping the Oath. AF was lol-worthy to anyone that knew how the game worked (and story quality varied from job to job. RDM and DRK happened to have barely passable stories, while SCH had one of the better AF stories in the game). Relic Weapon was a long-term project. Opo-Opo Crown should have never existed (same thing goes for the necklace).
Aside from vendor price differences, that's no different than quest chains that open up other quests.Not only that, quests gave fame, which lowered the merchants prices in the nation for you. It also opened up more quests.
If you learned absolutely nothing of your city state while doing quests, you weren't reading. And if you learned absolutely nothing about Ishgard during the whole mess in Coerthas, the same applies.And I'm not really sure how much the setting is established by go kill x of that. Or we have an infestation of rats.
You establish setting by presenting not only the big picture stuff to save the world with, but also little things and actual problems that the people in the region may be having. This can include bandits, rat infestations, recovering stolen goods or even playing the emote game.
You say this as if you just discovered something new. Questing manages to hide the grind well enough that you're not bored to tears (if you're actually paying attention and putting the setting together when you read the dialogue), which is what happens when you grind mobs ad nauseum. Worse is that once you're grinding mobs, you end up focusing on efficacy because you want it to end ASAP, which then causes you to urinate on the fun of others because then you start wanting max exp/hour. And that was FFXI leveling in a nutshell, regardless of how you want to paint it.
I'll take proper context and setting (two things FFXIV's quests deliver on) over what you misguidedly call adventure.