I don't feel (feel is the right word, cause only YOU can decide if something is immersive or not) that WoW is immersive anylonger.
I haven't felt immersed since WOTLK. I felt the most attraction to the game in Vanilla, but in terms of immersion that was in WOTLK at its peak.
Storywise you were handheld alongside multiple storylines. Especially the Lich King was pretty damn nice. I felt a part of Warcraft III lore in that expansion, just what I wanted when I started playing WoW and "only" had to wait 4/5 years for to see.
At the moment it feels more like a job and not an important one at that ingame. This whole expansion doesn't feel immersive at all. Only Jade Forest touched my "immersive nerve" a bit. Cata had me slightly immersed but not much. Deathwing... I didn't even care about him at all. The most cunning/wicked/powerfull of all dragons and he turns into a giant meatsack to hack at. I expected to be attacked by major spells as in the books. But no... nothing like that.
Maybe the Burning Legion expansion would make me "immersed" again. Everything else feels like a filler.