The lack of chained quest ruin immersion. What I mean by this is having to return to the start point over and over (Waking Sands). When you examine FF's main storytelling, the player is always moving forward from point to point, rarely ever going back. In FFXIV the questing is 1 > 2 > 3 > 1 > 2 > 1 > 1 > 1 > 2 > 3 > 1. When you keep having to go back, it kills the momentum of the narrative.

FFXI Chains of Promathia (using FFXI because it's one of the few MMO with great storytelling), you start in Jeuno but rest of the patch story had you going all over the place or 1 > 2 > 3 > 4 > 5 > 6 > 7 > 8 > 9 > 1.

It's also annoying to end and start a quest @ the same NPC just seconds apart. We have Quest logs, map location, and even a pop-up window telling players continued quest in the area. There isn't a need for the extra click work when you can just keep going.