I just came across this spell in Skyrim. It draws a path from the character to the objective with a blue glowing aura as long as you are contributing magica.

Just turn off the quest arrow on your compass and get this spell. No more immersion problem. As long as you are a magic using character, that is.

http://elderscrolls.wikia.com/wiki/Clairvoyance

http://www.uesp.net/wiki/Skyrim:Clairvoyance

Or turn off the HUD completely... much better option imo. Been playing HUDless the last 10 hours and loving it.

I don't like that option because then you have no clue how close to death you are. That meter shouldn't break immersion or anything, it actually makes some sense: that's just how close to death your character is, something that you should be aware of if you are your character. Likewise, you know if your stamina is low, or your "concentration" (Or magika, in this case).

So I don't think that really matters too much.

Plus, people in medieval times paid much more attention to what direction "north" was, so it's only natural that you would know what compass direction you are looking at when you are outdoors (though I think that some game should make this change if you are in a dungeon or in a fight, as if you have lost your bearings)

If we really start speaking about immersion you should not have any hud at all. Do you have somekind of health bar on your eyes in RL? And you will know when you r low health when the screen goes all blurry and you hear heart pounding. And you r low on stamina when you cant use power attacks or run, Cant really speak about "immersion" that way in games.

Though I'd hope that sometime they go back to the notion that Redguard had where you'd have to purchase the compass, and it didn't have markers.

As for a health bar replacement, they could I suppose do the bloody screen (so real!) trick and have the redder mean you're in more trouble.

Honestly, the HUD bars aren't really that much of an immersion breaker. For instance, you can imagine the health bar as being a simple indicator of your character getting physically hurt: instead of having a limping animation (or a constantly shaking or ever-bloodier screen), your health bar goes down. Sure, an ideal system would be to have such animations as limping, or the inability to use an arm after you get hurt, etc., but seeing as how that isn't going to happen any time soon, a simple health bar should help you guide your imagination without breaking your immersion.

In my opinion, a much more serious threat to immersion is automatically regenerating health. If I get stabbed in the gut, I'm not going to feel perfectly fine 10 minutes later if all I've done is walk around.

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Back on topic: As far as the compass is concerned, yes the clairvoyance spell does seem like it alleviates some of the problems with automatically knowing where your objective lies (at least for mages, as the OP says). But this still leaves the problem with the compass knowing all about near-by unvisited locations.