I guess it depends on the person. It's not compelling in the least. Who has time for reptitive mmo style quests wrapped up in an fps?
I feel the same way. Free-roaming feels so boring with the same quests over and over again. They're like fetch quests except you don't fetch anything for anyone, you just kill things, pick it up, then you pass.
It would be cool if there was a Demon's Souls style tendency thing. Do enough missions, push the darkness back enough, and your tendency/darkness rating will drop. Doing so will cause bigger and badder enemies to start spawning outside more and only people with a similar darkness rating will appear on your world, so not everyone has to fight these giant monsters that they can't kill.
They could give you good reasons to strive to do this, like better loot drops because of bigger and badder enemies, better items on sale, lower prices for items, more XP gained per mission/kill, etc. It'll also make free-roaming more fun because killing the same boring enemies over and over is boring. You'll have to keep up your darkness rating though, because it will increase overtime and you will start losing those benefits.
Or just spawn higher level enemies for higher level players.
For the missions where you have to leave to start them, they need to just have a way to join them without so much loading. If you're on Old Russia and you want to start a new mission, instead of jumping out and jumping back onto Old Russia, why not just have a single loading screen for when the game loads the new mission. It's using all the same assets for the game world, the only difference is the enemies, the crappy voice acting and the objectives. I don't think it's that hard, is it? Maybe for last-gen consoles, but maybe that's the problem, it's a cross-gen game.