I think they certainly do. I don't want puzzles necessarily, but just a bit of credit in regards to finding my way around and accomplishing objectives. This is something Dark Souls (yep, I'm fanboying again, get used to it) does very well. The game doesn't tell you much or direct you on-screen, the level design implies things and you have to be paying attention to pick up on them, or else do things the hard way/die. For instance the Taurus Demon plunge attack. The NPCs also tell you things, in a natural way that suits the context, like the Undead Merchant mentioning a bull demon and a goat demon, those being the subsequent bosses, without marking it on a map or putting an objective marker. Admittedly, Dark Souls, while open-world, has very specific levels and isn't like Skyrim where you can go anywhere in a largely wall-less map where there isn't an implied place to proceed. Skyrim would need a much more detailed system for NPCs to tell you things that you can then act on without assistance from a marker.
But my point that I would have eventually gotten to is that most games don't give you the option of working things out for yourself, not just because they do it for you, but because there is no system in place for you to work it out yourself.
Another thing I didn't appreciate, games like Assassin's Creed telling you how to approach something. They've gotten worse over time, but even in one of the Ezio series, I remember seeing a big guarded palace, and I said to myself "Imma have to get into that at some point". So I found a way in ahead of time and went on with my business. When there was finally a mission to kill someone inside it, I had a moment of "YES! I used some intuition and it paid off!", which was then obliterated when the cinematic panned and zoomed suggestively to the pillars I had used beforehand without help. It just told me what to do, again, and it wasn't necessary.
tl;dr: Yes, except Dark Souls, I love Dark Souls.