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Yeah, for that reason I was also disappointed in the exploration in XIII. Some people might rave about how Chapter 11 opened things up and there was so much to explore, but for me it was not the case as I wanted to see far more of Cocoon than that. I wanted to see the entire world! FFX also suffered for this. I miss the worlds of VII & VIII. I'm yet to really get far into IX, so I can't speak much for that one. But yeah, as far as I know, FFX was the first to do away with traversable world maps.
I see things the opposite way to you regarding XII and depth/vastness. For me, the depth in XII was there in huge amounts because of the vast numbers of people and the immense amount of information for the areas. For me, depth is how much detail they go into, vast is how far you can go and how few restrictions there are to the places you can go.
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The devil is in the details.