I loved the game to bits, but I agree with this. The typical Dark Souls storytelling doesn't pull its weight enough here.
In fact, the story and lore here are the poorest they've ever been. I'm not usually a fan of how From does this, but Bloodborne proves they can craft fascinating lore and backstories, and Sekiro proves that they can tell good stores - both without interfering with gameplay. But they failed on that account here. I was just shaking my head saying "huh, okay" during the final cutscene - couldn't care less about what happened. That's a failure. And as you've said it made the "open world" feel more like an "open level" than a real place.
This is the one place From refuses to improve, and it's a shame. You don't need quest logs or relationship charts, just make me care about the characters and the world.