Because that would be too much like FFXI and the XIV community largely despises anything and everything to do with XI. There's nothing wrong with skipping it as you can go to your Inn Room and watch every cutscene. The only difference is you wouldn't be with a group - Which doesn't matter as much (it is cool but it doesn't) since the story treats you as a singular hero anyway.

They mention there's others but your party up until castrums doesn't really matter to what's being said/shown