I remember that as well, but in true Blizzard style they went from one extreme to the other. Wrathgate was special (in part) because of the leaders taking charge, and that's memorable to this day. But somewhere along the line WoW ceased to be our story and instead made us bystanders in the story of the racial leaders, and I think something was lost along the way. It's great to have them personally involved every now and then and I think there's room to explore their own stories as well, but the way the storytelling is done at the moment with them being the driving force through every main story is frustrating to me.
Another thing I remember from vanilla is how cool it felt when the end of a long questline sent you to report to Bolvar or Thrall or Tyrande in person. Contact with the leaders was rare, and felt all the more special for it.