There are many reason to do this. One of them has to do with the way you design in general. You ever notice how games like WoW have these mountains or walls up around the edges of most zones? It limits how far they need to render (or hides the limited rendering distance). It also puts a border for when they inelegantly switch zones; like from a red, lifeless zone to a lush green zone with minimal transition.
Flying mounts? Most games are better without them. You see how divided the community can be about them in WoW and they've been there since BC?
Flying mounts are hardly necessary in any game, and can be a hinderance to it. Rift and SWtOR may never have flying mounts, and there is no reason to put them in ... same with FFXIV. What do you really gain? Why do you want it?
Do you see the limitations and expense they had to go through for WoW's Azeroth to put flying in? They couldn't make it work in SMC/Ghostlands. They still didn't do an amazing job, because the textures are still too low res and stretched. I thing there is a place near 1k needles where it looks like they started to update (or tested) and then stopped or forgotten.
Remember when they added CRZ? People were getting loading between zones, npc pop ups and disappears, people were getting dismounted crossing zones, etc. The one thing they had going for them, continuous world, they broke.
There isn't that much loading in FFXIV. You go to a zone, you quest/do fates. Once in the zone, there isn't any loading. I don't get noticable loading talking to npcs. I don't even get loading when it switches to cutscenes. The game runs damn smooth on my machine and connection.
Want to teleport in WoW? loading. Want to do a dungeon? loading. Want to ride a super long zeppelin/boat and lack of scenery? loading. See how your same statements made with bias could be used in the game you are claiming does it right? SWtOR has lots of loading with the space stations as well, and besides picking up a quest or some class quests, there is no reason for the station outside of creating a more 'realistic' world I suppose (docking at a station and using a shuttle would be more pratical than thousands of adventurers landing ships everywhere if you think about it). I don't have a problem with all the loading in WoW; just pointing out you are using examples that are in every game.
FFX did add in the loading, and it was far more often than in FFXIV. But even in VII, you move in and out of zones, you loaded. You traversed maps, you loaded in the next screen.
I don't know, I do have my game on an SSD, and I don't notice any loading really. Even getting into the game is a couple seconds, faster than WoW with all my addons, that is for sure, and faster than SWtOR as well. Rift was pretty fast iirc.
So basically, there is similar or less loading than the PS1/2 generation games, that can be considered 'traditional' to many, since we are talking about more than a decade worth of IP to relate to.
Personally, I might have missed flying mounts a bit in SWtOR and Rift; but that was a long time ago when those came out, and I've since adjusted quite a bit. Thing is; if I play WoW, my 310% flying mount is a given to me, and in that game, I find it necessary. They make the territory to cover so large, and pack the mobs in so tight without any real path around them (even the paths/roads aren't always safe now), and a lot of them can dismount you ... that you just want to fly over and get shit done. When you design your map to which people would rather fly, it isn't the mounts that is the problem, (though convenience is a big reason), but you have to look at -why- people want to skip over everything, such as in MoP before 90. It seems to be, if you make travel tedious, people aren't happy about it.
They should feel like exploring, but with excess mobs, you don't always feel that is viable because you end up fighting trash mobs constantly instead of appreciating the journey. Not that it should be clear ... there needs to be danger and surprise ... but I'd argue there is no surprise; it is just tons of mobs everywhere. Clear out 50 things to point y, to clear the same 50 to get back to x. The bane of needing quick respawns for people.
I do think they should/could combine more ... but I'm not feeling disoriented by a 1 or 2 second load going from one shroud to another. Would I prefer none at all? SURE! ... do I feel taken out of the world because of it? no, personally. Their loading is done well. Clean, elegant imo. The loading screens in WoW and SWtOR are much more immersion breaking because of how it is done ... they both give a full screen change to a loading screen, which also takes quite a bit longer to load up. Which is ok. I'm not bashing those games because I still like SWtOR, and I have nothing against WoW even though I'm done playing it.
Now if this was specifically about cities ... you'll get no excuses or arguments from me. I see NO reason why the cities are so divided. Why do I need to have any type of loading to go from new to old gridania? upper or lower limsa whatever (lol), or the levels of ul'dah. That makes no sense to me, nor do I see any real excuse for it. I actually almost appreciate the transitions from eastern to central whatever outdoor zone ... but the cities? meh. I'm not upset about it, but I don't like it.
tl;dr, I like the 'seamless' WoW used to have before CRZ. I don't need it though. And if you are going to have any type of loading, I think FFXIV does it right; I much prefer their approach to the other games. The city separation is ridiculous imo though. Flying mounts aren't needed. Most want them because it is 'faster', but either faster ground mounts accomplish the same ... or wanting to always skip over the world is a sign of a design problem (especially with efficient transportation already in game).