Tbh, it's the reason I always avoided MMOs, or open world games like Skyrim. I never liked the fact that the main story gets lost among all the other activities the game floods you with. I love to be immersed in a beautiful story, and felt that all these other activities would take away the urgency from your primary objective.
I have yet to properly play through an open world game - they probably handle the balance of freedom and linear story a lot better - but I'll probs never truly invest in an MMO.
Thankfully, there's no subscription fee for Destiny, so I can at least try and see if I like what they do.
EDIT: The Division looks very promising. It's open, and persistent, but it all ties into the main story very well.