aaaaaaaaand I'm in.
Right, the concept of games "just being fun" isn't the worst thing in the world, but I hardly believe that devs go out thinking "fuck everything else! let's just make it fun!"
In MY opinion (yes mine, get your own.) A game being fun should be its priority rule; when you sit down to make a game the first thing you do is try figure out how to make it fun, story elements and what-have-you comes afterwards depending on the type of game you're making, you would put things at a higher priority. for instance, if you are making a turn-based strategy game naturally it actually being fun is a low concern, considering you are basically making a board game, but with anime.
fun is a term relative to the person saying it, where one person likes a good story, another person likes to be in the battle, neither are above the other. So it comes to me to point out that your question is rather silly in it's own right, you are basically asking "why do people find different things fun?" but your question is actually "why do people not find what I find fun, fun?" which in the non-ones-and-zeros world would earn you a slap upside the head and a lecture on proper english.
I haven't ever heard or seen someone say that games should *just* be fun, as in nothing else but entertaining gameplay, but consider this, as a pro "games-are-art" gamer, what is Minecraft to you? is it a no content just entertainment sandbox game? or a beautifully creative representation of gaming culture as a whole? is it art? or is it a pencil to draw with? Your definition of art, like ALL definitions of art, mine included, is skewed towards your natural likes and dislikes. On the opposite end of things, how was Heavy Rain to you? A thrilling story with immersive power augmented into it via timed actions? or a hopelessly flat piece created purely to pull 60$ out of the "games-are-art" target market?
I think you can see what I'm driving at here, a game being "fun" is dependent on two things, the quality of the game, and the relationship between the player and the genre, I hate Heavy Rain, the story was full of holes and the plot was predictable (oh no! who'd of thought that the murderer would be the only person who's story didn't tie in with the other characters) and yet I have a friend who has played through all twenty combinations of the story and won't say a bad word against it. The quality of the game is great, but my relationship with the genre is terrible and this is the same thing that is happening with you. You clearly don't like first person shooters, and why should you? I have been keeping up with them for most of my days and the only two that I've enjoyed in the past year or so were Bulletstorm and Borderlands. With that said, it has been about 5 years since I've found a game a with a story engaging enough to make me want to dismiss gameplay outright.
In conclusion, a game needs both atmosphere(a setting, a story, an artistic direction etc..) and gameplay, whether or not you like games that are more story than game or more game than story is a matter of opinion, and as such, asking a question like "why are games I don't like, not like games I do like" is akin to asking why we don't just push the earth away from the sun to stop global warming.
Because that would be stupid.