You haven't played Planescape, have you? It does explain immortality, it's implications, and goes into depth for it; only the developers tried to show it naturally, and not convoluted (which is what MGS2 was like). In the beginning it is explained roughly (or rather, naturally) the immortality of the Nameless One. the player then will experience death, rebirth, loss of identity, immortality; and he will see the impact of the Nameless One's past, who he was, what he did, the evidences he left. The sporadic gain of memories from past lifes will leave the player wondering more about him, without ever having his questions fully answered.
Yes I have played the game, but your point about it explaining immortality through the gameplay sequence of death and rebirth was false.The game actually explained immortality through pages and pages of vast dialogue. It baffles me that you would even mention Planescape as a game that has compact storytelling presented through its gameplay when it has the largest script ever written for a video game.
Not having fully answered its questions isn't a demonstration of good storytelling. Hell, MGS2 had more loose ends than any game out there. It's simply a style of storytelling not a matter of quality.
