I think most people agree its the "illusion of freedom". While the FF series hasn't really been open world since FFII and FFXII most recently, the games always offered a few little treats for going off the beaten path. In FFIV, you can discover a chocobo forest before you ever get to Mist Cave, and later there are entire dungeons and towns that you will never see if you don't go off the beaten path. VIII and IX both have a few quests that require you to backtrack to earlier locations at certain points in the plot and both also had some optional locations to visit. Hell, even just discovering locations of rare monsters like the Intangir and Brachiosaur in VI or the Vlakorados in VII.

The pre-PS2 titles always had some minor diversions and secrets to discover that made you less aware that once you leave the dungeon, your only option is to go to town and then the next dungeon. It still creates the sense of being a large open world while also encouraging the player to look around and check everything before going to the next stage of the game.