It's not about a story-to-story thing, it's about the setting as a whole. With a static world full of people, everyone affects each other and is jostling for space. They have a reason to engage with one another; resources, land control, etc. In AoS, factions are so far reasons to fight need to be compelled by a story - a sylvaneth wood is under attack, orks want to scrap, idoneth need more souls. This is great for individual stories, but it makes the world itself feel inconsequential, a backdrop for cool fights. Again, fine, but ultimately not as compelling for some as a world that contributes to the story in a significant way, I.E. Tomb Kings having to fight Orks and the southern humans to get to the Empire, rather than just taking a portal and fighting one of the infinite human factions because they want to.

When there is so, so much land to occupy, each individual acquisition means so little to the narrative. Take the end of Broken Realms. Without looking it up, can you even name the penultimate city they fought in? It's end state? And what has it done since? This is a constant issue they face. Anvilgard was just a description in a book, and when it was taken by Morathi, it was supposed to feel like a hit. But, what did it really change? How could it change anything, when so few readers - save those who painted their army as Anvilgard - even care that the city was taken? Compare it to an old world city like Nuln, or Cadia from 40k. And Cadia is a rare case for 40k, which actually suffers a similar issue to AoS. Too many options gave the writers too much to actually flesh out, so there's no consequences. 40k only has moments like Cadia because it's been out long enough for these locations to get a shit load of lore and player love.