I get where people are coming from but for me the seams actually lend some immersion to the world.

When I'm playing something like WoW and I walk from say Ironforge to Menethil Harbor, I literally walk the whole way. I see every inch of the journey from doorstep to doorstep. However the two places are really not so far away. It's seriously like a 10 minute walk, that is the entire journey. I saw the entire thing with no interruptions.

If I'm going from Ul'Dah to Gridania I pass through several loading gates between zones. There's space "Missing" on the way. That 10 minute walk is no longer the entire journey and instead it's just the interesting bits. It leaves my brain some place to allow for some abstracted distance. I can imagine a carriage leaving Ul'Dah and having to stop to camp overnight on the way to camp drybone. I can't imagine anyone even stopping for lunch between Darkshire and Stormwind.

In both these games space is highly compressed. "Big Cities" are scarcely a football field across, and there are enough houses for all of a dozen people. However this smallness is less obviously pronounced with they're more loosely sitched together.

In this way I kind of find the loading screens more immersive, if only because they give me just a touch more room to ignore the silly, video-gamey scale of the video game.