I was pretty scared when I first entered Mor Dhona and got chased for about 2 miles by a giant toad. I didn't want to have to return to Limsa and spend another 30 minutes running back again if it caught and killed me
What resulted in that first trip to Mor Dhona was me and 2 other people from my LS attempting to cross Mor Dhona from the south all the way to the north to move into Coerthas, just so we could admire the scenery and get some idea of where we'd end up in a few months time once we all hit r50.
At one point we all switched to gathering tools and swimsuits and started throwing rocks at a drake to see which one of us it could manage to catch, then one of the two survivors had to try and raise that person without getting aggro. Why did we do this? Simple, it was fun, and extremely funny. (Did I mention most of the enemies in Mor Dhona aggro on sight?). And by sight I mean quite literally, they only aggro if they look at you whilst you're in range, so you can actually run past them like, 5 feet away as long as they're looking the other way. It's pretty intense trying to run past a rank 90 Basilisk in an enclosed corridor of rocks, and knowing at any second it could turn around and chomp you, and that your corpse would end up too close to it to be raised by your friends.
But anyways, this game doesn't hand you immersion, fun and excitement on a plate, but it gives you the means and tools to find it yourself. If you want to go adventuring and exploring, you can. There's quite a few hidden nooks and crannies scattered around the various landscapes that you probably never knew were there, heck, I found a cave in Thanalan the other day with a pool and quarry point and weird glowing flowers that looked like chinese lanterns. 3 weeks running around in Thanalan before I found that. No doubt there's other wonders around that people don't know about, the same as there could still be crafting recipes or items of clothing that have yet to be discovered.
Don't expect the game to give you your adventure, go and find it for yourself, that's what makes it YOUR adventure.
So I guess in a way instant teleporting can affect the games immersion, because you may miss these hidden little bits and pieces, but it's up to you if you want to teleport, or run there and maybe find something interesting.