Its like the mansion in RE1 or the police station in RE2 or the castle in RE4. You spend so much time there, looking at maps and getting keys and backtracking through the area to unlock a door to a new part of the game, I think you get more immersed in those places as actual worlds that exist, and there's not just cool ideas for set pieces strung together.
Even in a more action heavy game, like Half-Life 2, there are these lengthy "transition" periods in-between say, the haunted house zombie-infested Ravenholm and the brightly lit Highway 17 chapters. You got to through the mines with all the headcrabs, then use some traps to escape the zombies and head for the light at the end of the tunnel, then you slowly work your way through some Combine snipers before you even get to the rebels who give you the car. If this was the Evil Within, as soon as you were done with that climax in the graveyard, the scene would have just SHIFTED immediately to another environment. In that game, you'll be in a sewer one second, Ruvik suddenly, and then you're in a mental hospital. It keeps you off-balance and lets you easily do all the cool level ideas you had, but it does fuck all for world-building or making your enviroments seem like tangible places.
edit:
YouTube link of Half-Life 2 transition. Valve builds up to the big climax with Father Girorgio in the graveyard, then slowly eases you out of that world and its traps and such into the next one. They even use the zombies both as a tutorial to show you how the snipers work(watch out for the blue lasers!) AND as a world-building narrative excuse for why snipers are outpost here(to keep zombies from Ravenholm from entering into the city). It makes these chapters feel more organic, flowing together, instead of just old school action game levels where you're in Paris for stage 1, then Japan for stage 2 or whatever.
