A reminder since immersion is really a function of DMing the setting consistently IME and I want to hear your definition fully realized.
Well first one has to break down settings in to two sets of categories.
First set is Living Setting which advance in time and change like FR and Startrek vs Inanimate Settings that don't advance in time and get tweeked at most, like Eberron or Golarion.
Then their are Temporally Morphic Settings vs Temporally Static Settings. In Temporally Morphic Settings or TMS for short, like Star Trek, Stargate, or Dr. Who, constant time travel means the past is always changing, which changes the present, which changes the future which changes time travellers who change the past and the cycle continues.
Temporally Static Settings or TSS for short have little or no time travel or history changing incursions from other universes ect..., so casuality doesn't become out of wack, and they have a consistent History. TSS settings are much less forgiving setting canon wise because they can't blame inconsistances or retcons on time travel and other reality bending hyjinks, where as such paradoxes are internally consistent with the nature of TMS settings.
Now also remember that gaming at a table is not the only way to enjoy settings, I brought Eberron: RftLW but haven't played an Eberron game, I just enjoyed reading it. As a Inanimate TSS apart of my ability to immerse myself in the setting is it's consistency and to have that it has to have an official canon.
Another example are realm sages who enjoy discussing realms lore and reading FR novels and debating the setting. Many value and enjoy sych duscussions and it enhances their immersion. You can only really do that if there is an official canon.
Having an official canon for a TMS is also important for simular reasons, but its embedded warping of casuality as a canon attribute of these settings makes said canon more forgiving or mistakes and other assorted paradoxes.