You know, I think it may be due to the lack of a real feeling of direction. I mean, you get so many quests accumulated you lose your direction and feeling of engagement. Maybe I'm just too goal-oriented for those types of games, although I have played Fallout 3 through to the end at least twice. Even Gothic 3 couldn't keep me to the end (whatever that is), and I'm a huge fan of the Pirhana Bytes games. Just a litte TOO open-ended for me apparently.
Yes, having a degree of linearity can actually be good in an RPG, it gives you a direction like you say.
I also think that a strong narrative, present throughout the game, helps keep you engaged.
Which was another thing that bothered me about Skyrim, the narrative got lost on me quite easily.
Perhaps because you accumulate so many quests all over the place.
However I thought Fallout 3 had a good narrative, the premise was interesting.
I'm not sure there IS a narrative in Skyrim - or rather there are so many narratives that they drown each other out. Still, I'll play it for a while - this playthrough I am intentionally turning down side quests (harder than one might think, as one is forced to take them very often) and concentrating on completing one multi-faceted quest at a time.