RDR2 is indeed one of the rare games with impressive NPC AI (well, in the open world part, missions aren't as good on that point because they are more heavily scripted), but... to me it was still not as immersive as in Oblivion / Skyrim.
The fact that in these games every NPC (outside of some random bandits / guards) is UNIQUE, like with a unique name, a unique look, with specific daily tasks etc really make it feel more special. If you kill an NPC in RDR2, it will just be a random NPC that's dead, another will respawn instead, while in Elder Scrolls, if you kill an npc, he's dead forever, it will be a change in the world. It's a kind of "immersive sim" feeling that I don't get in other games.
I also find it interesting and fun how you can see random things happening in the world just because of what the NPCs decided to do, and not necesarily something that was pre scripted. Like you might encounter what seem like a random npc while traveling, but this npc will have a unique name, and you can follow him and see what he does and what happens during his travels, he might get into fights or do various stuff. Then much later, you might meet this npc again in a town, this time for a mission or whatever, and recognize him because you remember following him and seeing random events with him.
There are also a lot of events that can happen in the world without you having to be there as a spectator for them to happen, the npcs and the world live by themselves without the need of the player. You can for example in Oblivion help a paranoid NPC who thinks everyone is against him, and depending how you end the quest, you can decide to tell him that someone specific want to hurt him, and the quest ends there. It can simply ends there and you can leave and that's it, but if you decide to follow this NPC, you will be able to see what he does, he will search for that person you mentioned, might break into the house to kill him or another way, and it's something that can happen off screen, like a lot of stuff in that game.
It's less impressive at first glance compared to RDR 2 which is filled with much more NPC, everything is moving everywhere, but it's to me a lot more immersive in its depth, because everything is unique and has an impact. These games feel like huge scale immersive sims and that's something I really enjoy about them.