I have noticed I have a tendency in the NV add-ons to rush through them and try to finish them as quickly as possible. While for Dead Money this might make sense, I did the same in Honest Hearts which has a beautiful setting and less challenging enemies.

However, I realised with both I didn't like feeling cut off from the main game and the Mojave. For some reason I felt trapped which spoiled my sense of enjoyment for both games: as lovely as Zion was, I just wanted to be able to go back to the Mojave.

I guess it is a form of claustrophia within games: that I am tropped in one location with its quests, not free-to-roam. Does anyone else understand this feeling at all?

Yes, I think that the locking you in is the worst part of the addons. If I go into OWB and forget something, then I have to beat the whole thing just to get that piece of gear.