I really disliked the Shivering Isles as I was constantly reminded I was just playing a video game.
Hmm, I'm certainly not saying you're the only one, but I do believe you're the first I've heard that doesn't like the atmosphere of Shivering Isles.
Haha, if it takes an alien world to remind you that you're playing a game, I'm jealous. I'm reminded of it every time I walk past a guard or walk by the Whiterun smith at the entrance only to hear the same few lines repeated over and over and over... and over... and OVER

Not to mention that having a follower keep getting in my way... and a dog continuously barking as I'm trying to sneak around in a dungeon. I keep thinking, "Thank you very much for alerting EVERY enemy in this place that I'm here." Then I remember that everybody in Skyrim is deaf. Alas, such immersion breakers