Isn't this something that's a problem for all open world games? They have to have a border somewhere.
And as for Zelda, the setting is Hyrule. But is Hyrule the world? Is it just one country in a massively larger world? Why is Hyrule so much more important and chosen by the gods? If Ganon is a constant threat, why don't people just move away? How big is Hyrule? The size of Rhode Island?
These are things I think about that I shouldn't because I break the immersion for myself and I don't know how to stop it : (