I prefer real-time dialog from an immersion point of view, but with some caveats.... if the surroundings are loud to the point I can't concentrate on what the NPC is saying, that is bad. If I can get attacked while we're talking, that's fine ~except~ that I either miss out on what he was saying (or was GOING to say, perhaps, especially if the NPC dies)... but just as bad, the NPC could pick up his conversation from the beginning as if it were the first time we were talking. That's a little immersion-breaking. But it almost has to be in there, or else we just miss out on potentially useful / relevant information. Picture this:
PC walks up to Bob, says, "Hi, Bob, where is the doo-dad?" And Bob starts to talk, "Oh, the doo-dad? Sure, I know where that is, it's ----" and then a Deathclaw jumps up and attacks and Bob helps me kill it. Then I mouse over Bob and say, "So, Bob, where is that doo-dad?" and Bob says, "I done toldja once, I ain't tellin' ya agin!"
So while I may get a map marker on my map (even more troublesome if not), I miss him describing where the doo-dad is, perhaps even mentioning some dangers I might face or some trick to getting into the secret area or something.
So missed dialog or repeated-as-if-nothing-happened-but-we-were-cut-off dialog are the two dangers of real-time dialog. Neither solution (missing the info or having him talk as if we'd never spoken) are ideal.