The thing is, "just another soldier" doesn't work when you're facing powerful enemies, and Final Fantasy is known for having powerful enemies. Specifically to FFXIV, the player character has to be able to face primals without being tempered. That doesn't work if the player character is "just another soldier." And since that's the case, it's nice to develop the reason why the player character is special. That's why the reveals in Shadowbringers are great because they're like payoffs for the player character's story.
I would say it's the opposite of "not trying to think about it" because it's acknowledging the player character's role in the story and actually thinking through the ramifications of what it means for the player character to be able to do all the quests. "Just another soldier" facing against powerful enemies would actually be an example of "not trying to think of it" when you have to ask yourself why this regular soldier is here doing this this heroic stuff and defeating this dangerous enemy.
That's a matter of, either proper setup beforehand, or progressive revelation afterward. That's why I said it's nice that we might be getting some information about the WoL in Shadowbringers.Maybe I shouldn't say Mary Sue, but they're still the arbitrary "you're destined to be the one" trope you see in every mmo story. Kinda why I liked HW and the beginning of ShB so much, it reminded me of how I'm just an adventurer... Not this god killing OP plot device. Being out in the woods asking for directions or just trying to get by in the cold snow.... Now it's like we're just reading a magazine waiting for the next "big calamity" for us to smash... ya know... again...
Also, you can't be "asking for directions" or "trying to get by" forever unless you want to only be tasked with killing 10 squirrels forever. To be fair, the player character still does that type of quests, but as the WoL gains fame and becomes more integrated with the world, the WoL will be assigned more important tasks. That's just part of character progression.