That thinking, while understandable, is also the thinking that drives critics of the gaming medium to tell gamers to "go outside" and do your own thing.
Everyone plays games for a different reasons, and in sports some want strict sim and others want simply a "fun" representation of their sport (do you as a sports gamer really want to deal with crap like Pacman Jones and Terrell Owens' driveway sit-ups in your 'chise?).
To play a game in a "new" world that reveals magic and mystery and new game types based on a specific timeline and progression as opposed to a speed run or free roam style makes those moments much more special in my opinion.
To tie it back to GTA, getting to Algonquin by stealing a heli is great fun...but it pales in comparison to the mission(s) that bring you there in the story.