As a longtime XI player I know exactly what you mean. Vana'diel remains a far more immersive world to me than Eorzea though both are enjoyable. You had to learn everything you could about the zone/dungeon/city you were in if you wanted to accomplish anything, you had to know every monster you planned on exping on, the list goes on and on. But a major part of it (for me at least) was that XI was the first MMO I played and everything felt so big and unknown and I slowly conquered and understood the world as the years went on. It's very difficult to capture that same feeling in XIV because it's not an unknown to me anymore, it's just another (gorgeous) MMO.