I get the premise of what you’re saying, but complete immersion of a place or a single story has never really been a thing for theme parks until relatively recently. I mean, at Disneyland (arguably the best theme park in the world), you can see a storybook castle and a Swiss mountain from a turn of the century midwestern Main Street. See a Bryce Canyon style mountain from New Orleans. I do think that outside intrusion really can take you out of the magic. But land to land, or theme to theme, or even necessary backstage elements that are hard to hide, don’t bother me that much. I just choose to suspend disbelief for those kinds of visual interruptions.
Edit: I know you mentioned the grading system, and let me clarify: a park like Disneyland without that full immersion you mentioned is still a Grade A theme park in my book. And you’re fully immersed in being in a magical place when you’re there. I don’t think you need to be immersed in one story or environment to be Grade A.