\o/ ^_^
It's all about Immersion, Dembai. I am not Freyera when I play Skyrim. I am... well my character name is Freyera, but that's not the point! You assume the role of your hero and allow yourself to believe you're a part of the world, going about saving lives (Or destroying them), summoning monsters, slaying dragons, basically everything your boss says you can't do at your 9 to 5 job.
And you're not failing! RPGs have a very targeted audience. You'll either love them and dive into them headfirst, or you'll stand back and wonder why that NPC doesn't just take those letters across town themselves, the lazy bums!