I've been playing MMOs so long that I'm not sure if I can really give a good answer to that question. I like to think some of them are pretty immersive, but compared to a lot of single player games I guess they're not. the problem is that most MMO players seem to be much more interesting in the leveling/equipment treadmill and game mechanics than they are the story and the world. If you make a game that's heavy on immersion, players who aren't interested in that get bored and quit. I know one guy who plays almost nothing but MMOs. This same guy tried Skyrim and quit in less than 30 minutes because "it was boring".
I recently got a different friend of mine to buy GW2. He was mildly interested in the open world PvE content, at least enough to keep playing for a while. Then I went with him to do some of the personal story missions he had. He was skipping every single cutscene the moment it came up. He wasn't even waiting for them to get boring, he just never gave them a chance. Without paying attention to the dialogue, he had no idea where to go. There was a lot of "what am I supposed to do now?". I told him that the personal story is optional, and if he's not interested in the story, he doesn't have to do it. He asked "do I get xp and loot for doing these?". I told him that he does, and he said, "well there you go".
When I first started playing MMOs (Star Wars Galaxies) I was 100% into who my character was int he world and even did some mild RP. After a few years and a few game changes, I ended up more interested in pwning noobs in pvp and getting leet gear. I'd power through any and all content as fast as possible and then ask "where's my loot? and then "what's next?" Now I've shifted a bit back to where I started. This is part of why I like GW2 more than a lot of other MMOs, because most of the endgame grind is for cosmetic stuff. I spend my time trying to make my character cooler, not trying to keep up with the gear treadmill.
