Interestingly, the question about branching story paths was asked at FanFest, and while they're planning to look into integrating your specific Job into cutscenes, the idea of a scenario where a character is alive in one person's game and dead in another's was nixed as "never going to happen." This is likely a combination of finite resources and the dev team wanting to tell a specific story; that said, it's been getting steadily more interactive as time goes on, so who knows what the future could bring?

As for consequences: like the interactive moments, the shades of grey have been increasing as things go on, but even taking that into account, FFXIV has long since shown that it falls into a common category of story where the world itself exists in hostile shades of grey, but whose main protagonists exist and operate outside that system. Look at it as "the story is about Good triumphing over Evil in a world where it's difficult for Good to be." You can debate the effectiveness of this method - there are definitely moments where I would have preferred a few more consequences myself - but it is what it is. It's best to ask yourself, "am I enjoying this world, these characters, and the narrative they're wrapped up in enough to put up with simplistic solutions to complicated problems and the odd contrived moment in the story?"