I agree in a way. The fact that the player can leave Orzammar, go back to the Warden Keep to unload his inventory, then spend some time in the camp to chatter and cure his injuries, than travel all the way back to Orzammar and to the Deep Roads, while the world is supposedly about to collapse is an immersion killer.
But then, honestly, this is not something specific to DA:O. It felt just the same in NWN2 when you had to gather your allies before fighting the thing-that-is-strangely-similar-to-the-Blight-but-is-not-the-Blight.
BG2 : Holy crap, we have to rescue Imoen right now! Gods know what Irenicus might be doing to her. But first let's go on some sidequesting, dragon-killing and exploring.
Onto another topic:
Something that really bothers me with modern RPGs, and especially with Dragon Age, is that everything has a purpose. Longs are gone the days of BG1 and its dozen of useless map. I remember that exploring the world took quite some time in BG1. You could rush in for the main plot, or decide to wander around and explore everything, the several maps (some of them didn't even have a single sidequest), the dozens of houses and buildings.
Things changed with BG2 already, as every single map had a purpose (possibly with a whole subplot: you knew you'd find some guy handing you quests and what not).
Now, with DA:O, you don't even have subplot anymore. If you can open a door, it means that there's something to do inside the building. If you can talk to some guy, it means he's going to give you a quest (that's going to be completed while following the main plot) or a Codex entry. The only things similar to a subplot is the choice between good and evil you're given every once in a while (side with these guys or those guys) and the two DLC's (which are both subpar compared to BG1 or 2 subplots). And that's about it.
I understand a game could hardly offer as many "useless" areas nowadays as it did for BG1, mostly because it was easier to develop an area in 2D with poor graphics than it is to with 3D badassness. But I mean, what about a few of those? At least so I can get the feeling that the world is somewhat open.
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