It would be more immersive, just like flying into and out of planets with no loading screen would. Their Elder Scrolls games nailed that immersion, yet Starfield went backward with a bunch of loading screens and limitations.
It’s still a pretty good game, like an 8/10 or so, but to really get that GOTY 10/10 rating, they need to excel at something. Either have better immersion, or limit the scope in some way to improve other aspects of the game.