I play FF for the story and characters and gameplay, but I don't immerse myself in the world. I don't really have any desire to be someone else or somewhere else. I just like great stories because they are entertaining.
If you look at the 'show popular games' section, Final Fantasy Series only comes up in two categories (other than FFXIV which is very different): Completion and Story, which were my two highest. FF is actually perfect for me! It is much less immersive than something like Elder Scrolls, which I do not care for.