Actually, you're mistaken there on multiple fronts - the WoL is a character in so much as the story revolves around them. While it's certainly true they are also a narrative device to move the story forward, they are also the central protagonist in that the story literally could not exist without them and that their story is the main story (this is unlike FFXI where the player's character literally is just a sidekick along for the ride while the story NPCs like Zeid and Lion who are the real protagonists that get all the credit for your efforts). And with the revelation in ShB that they are the reincarnation of Azem the Wanderer, stating that they are 'no one and nothing' is completely wrong and missing the point entirelly.
And not every FF game has a dedicated protagonist with a fully fleshed out story or even identity anyway - some FF games they are just blank slates left to the player to create an identity for them, dating right back to 1987 and the very first FF game especially which FFXIV actually has a lot in common with. In FFI, the party was literally a party of nameless generics also called the Warriors of Light who were literally only identified by their Job class - there was literally no backstory for any of them other than they were young and each bore a dulled Crystal. FFIII was very similar (although the DS remake altered it and gave them names and identities, the original Famicom version they were just generic adventurers nicknamed 'Onion Kids' due to starting with the Onion Knight Job.).
Although FFII was the first FF game to feature named protagonists, party members, it was only with FFIV did each successive game have actual named protagonists (and FF Tactics kind of did both, with a main protagonist (Ramza) and guest named characters, with a bunch of generic adventurers that could be fired, end up killed or rehired with impunity). And it should go without saying FFXIV's MMO predecessor FFXI also had a generic player character who had zero backstory other than "they're a new adventurer from a foreign land".
So FFXIV's "your character is a blank slate" concept is hardly unusual for the series.