The whole idea is that exploring is its own reward, and points-of-interest need to be few and far between in order to kindle the feeling described above. "You see that mountain? You can climb it," is inferior to, "I heard there's a mountain beyond the horizon; we should find it and try to climb it." And then you spend an in-game day or two working your way there. If you're constantly being bombarded with "things to do", 1) It deadens you to their novelty, and 2) The game can't make them TOO difficult. Sometimes the player should just be walking; sometimes they should be physically lost; sometimes they should happen upon something that is of zero use to them.
I'm not sure how far you got into XV, but it's completely different from XVI. XVI is XIII-style hallways, but with no battle wipe, so areas are designed to be large enough for combat. XV is a Ubisoft-style open-world, but with a lot less of the dopamine hacking cruft of AC et al. Using the car feels very roadtrip-like, but you certainly can and should get out and hoof it through the wild areas.
RDR2 is very enjoyable to go out and just explore, you definitely feel out in the wilderness sometimes there. Another one would be Kingdom Come 1 / 2, especially 2 (it's a bit 'fuller') where you can just decide to go for a hike in the forest and go hunt or find some bandits or an easter egg. It's got long-ass walks (or horse rides) between towns; when I played the first one I barely used fast travel.
Death Stranding, again not so much; the only interesting things there are the actual destinations you have to go to / from. Great scenery and experience though, and the long-ass walk is core gameplay.