Are you suggesting that Final Fantasy should have a more stylized art direction? If so, that boat sailed almost 15 years ago. Aside from Final Fantasy IX, no numbered entry in the Final Fantasy series has featured stylized art direction since consoles moved from sprites to polygons.

Despite being photo-realistic, I think you'd be hard-pressed to describe Final Fantasy XV as mimicking real life. In just these two most recent trailers, we've seen enormous examples of neo-gothic cathedrals built on the edges of waterfalls (seriously, take a look at the shot at 1:30 in the Sony press conference reveal trailer and tell me that city looks like anything other than pure fantasy), soldiers wearing full heavy plate armor with bucket helmets and machine guns, giant airships, monsters, magic, over-sized swords, and a main character who freaking teleports up the sides of buildings. I'm genuinely confused as to what more that you could possibly want.

It seems that you have an objection to urban fantasy, but urban fantasy is still fantasy, even though it may not be the type you prefer. But suggesting that urban fantasy is new to the series (and thus a surprise) is ingenuous. Final Fantasy VII, VIII, X (to a lesser degree, but Bevelle and Zanarkand both qualify), and XIII all featured modern (or futuristic), urban locations set-pieces. I'd argue that aside from the cars and such, the cities we've seen so far are remarkably similar to Archades or Rabanastre from Final Fantasy XII in design.

And we've only seen small portions; FFXV allegedly features an enormous, open world. Who's to say that there aren't sprawling fields and mountains to traverse? I sincerely doubt that the entire game will take place in one city. Just because we haven't seen them yet doesn't mean that there won't be chocobos, moogles, and cactuars. We've seen a combined 8 minutes of footage from the most recent demo and trailer. It's probably a little early to start complaining about what is missing.

Edit: Beat to urban fantasy, but there it is.