Like Dark光 said, with games like minecraft for example that just let you have fun in the fictional world, that don't require any story or anything, it works fine. As for games that do want a story, suddenly appearing in that world makes no sense to me. If that does happen, that game better play to why I'm suddenly in this world and so on. What am I? Some other being from another world suddenly appearing in this one with no memory? (Well, technically being the player of the game in control of the main character, I guess you are lol)
Again, with games like minecraft, this doesn't bother me one bit. It works fine like this. With games that do have a story though, this makes no sense to me and is a hole in the story, unless it is eventually filled in.