Yeah, FFXIV makes is super convenient to revisit a place once you've already been there via the aetheryte, meaning you're probably not going to visit it on foot more than a few times. This means you don't really make that connection between zones (or at least, I didn't) and thus don't really view it as an interconnected world (the loading areas between each zone doesn't really help).
I'm struggling to give proper credit to WoW because I'm not sure if its the staggering amount of time I played the game, the time of my life when I played the game (younger brain retaining knowledge better?), or the seamless transition between zones which lends it to sticking in my memory so hard as a 'real, interconnected world'... probably a combination of the three, if we're being honest.