I think the story being upfront about the "artificial" nature of the world actually makes it more immersive than the first game's avoidance of the subject. While I liked the first game's story, it felt less coherent in its world-building since the shifting environments didn't have an apparent rhyme or reason until much later in the game. By comparison, TEW2's world feels more coherent from the start by establishing its nature and internal logic upfront.
Having a central location like Union to which you return and seeing how it's dissolving within the system also creates a sense of place and a sense of stakes, which aids in immersion. The "backstage" area of Marrow adds more context to how the place functions, as well. All of this helps me to buy into this "reality within a reality."
Seeing Seb lie down in the bathtub at the start of the game and reluctantly step back into that world, and then the title card with Seb walking into the darkness feels like a journey to another world, like Dante following Virgil into the underworld in Dante's Inferno. For the people in STEM, it's as real to them as real life, with horrors made manifest from their own subconscious that could overwhelm them to the point of cardiac arrest IRL.
I actually think that's what makes STEM feel "magical" compared to other virtual worlds in fiction such as the Matrix. The human mind is inherently mysterious, and the world of STEM is shaped by the minds of the people in it. There's this suggestion that Mobius doesn't fully understand the human mind — that there may be something more to the human experience than instincts driven by binary 1s and 0s — and so what results is not a rigid system like you'd create in a computer, but something prone to instability and the manifestation of nightmares from the darker depths of the human mind.
TEW2 really drives home the potential of this series' story going forward. Each STEM world can have its own distinct flavor and phenomena based on the minds of the characters linked to it. The sky's the limit in terms of what sort of worlds they explore in the future, which is yet another reason I hope this amazing franchise continues.