Game stories (like stories in any other narrative medium) don't depend solely on the actual events. Pacing also plays a vital role. (In fact, it could be argued that pacing is more important than events. Many narratives contain very little in the way of interesting occurrences, but all will pace their stories to keep the audience interested.) In a linear game, you are continually being pushed along the "rails" of the story, with cause and effect ensuring that events happen at the correct times and with the proper impact. (There are some exceptions, such as the points in Final Fantasy games at which you can hag around an area indefinitely training up your characters.) However, in a sandbox game, you an complete one section of a story and then abandon the main narrative in favour of some sidequest, with the result that the pacing of the story is knocked out of whack and loses its impact.
Long story short, linear games work better than non-linear games when strong narratives are involved.
As for my own opinion, I prefer games with a little of both worlds. As an example, Baldur's Gate 2 presents you with two opportunities (in Chapters 2 and 6) to (apparently) leave the main narrative and do your own thing. The difference here is that your abandonment is actually worked into the story, such as Chapter 2, in which you need to do sidequests in order to save up money. The problem with games like the Elder Scrolls and Fallout series is that when you go off and do sidequests it breaks the flow of the story and seems wrong. To me, at least.
Long story short, linear games work better than non-linear games when strong narratives are involved.
As for my own opinion, I prefer games with a little of both worlds. As an example, Baldur's Gate 2 presents you with two opportunities (in Chapters 2 and 6) to (apparently) leave the main narrative and do your own thing. The difference here is that your abandonment is actually worked into the story, such as Chapter 2, in which you need to do sidequests in order to save up money. The problem with games like the Elder Scrolls and Fallout series is that when you go off and do sidequests it breaks the flow of the story and seems wrong. To me, at least.