I wouldn't want a infinity mode either. Though I would definetly want a way to set your own goals and a sort of storymode. Like most, I must really grind to finish even a short campaign. In the 10 years or so that I've played TW games I've only finished perhaps 2 campaigns.
Setting your own goals can cater to your own needs and won't leave bored after a while (+ added replayability).

The story mode I imagine isn't as such a set story a player follows but more giving the illusion that you're part of something bigger. For instance, the factions in FotS acted all on their own and eventually all against the player. If there would've been some loyalty (with a few backstabbers of course) the player would have gotten the feeling that (s)he was part of something bigger. The story would unfold during play and the player would have a direct influence but wouldn't necessarily be in the center of it.