Ideally I'd much rather spend time on quests that expand on the existing FFXIV universe than bring content from other games that are like cramming a square peg into a circle hole. I'm not a fan of crossovers either, but as long as they find a way to make it work in the FFXIV universe I've come to accept them even though I've yet to experience one I cared about personally - Nier, FFXII, FFXV, Garo, Monster Hunter - I do not know about or care for these things, but the content was interesting and the rewards were nice.

But for immersion specifically, quests outside of the MSQ go a bit off anyway sometimes - like what even is Hildibrand? He operates outside a lot of the game logic but it's fun and they made it work - it's the same with cross-overs, the difference is just that Hildi is home-brewed crazy while others are imported from other games crazy and NPCs having to deal with either just kinda accept that they're there for the ride.