Immersion is all about imagination.
The goal of immersion is to make you feel like you are actually in another world or a unique scenario in your world. Truth be told, you will rarely, if ever, be completely immersed in a room, especially if you don't try to immerse yourself in the game.
For game designers, immersion is the most expensive part of building an escape room. It's easy to put some linear puzzles in a room with some furniture and call it a living room scene, but a good room will at least to some extent make you feel like you have entered a unique scenario.
With that said, I've been in many rooms that put all their effort into the immersion and theme at the expense of the puzzles. Personally, I'd rather play a room with good puzzles and bad immersion than a room with bad puzzles and good immersion.
One of the most common and worst immersion sins I see is when a game master walks players into a room and tells them all the things they can't touch. It gets even worse when they put some kind of sticker on all the items in a room that you're not allowed to touch or move. It feels like you're visiting your grandma's house, and she's covered all the furniture with plastic.
Over time I've noticed that there are some very overused theme, and I think that is because the materials to pull off an immersive environment in those themes are easily accessible. Some examples are libraries, bedrooms, prison cells, and worst of all, offices.
Another immersion sin is inconsistency. If a room's decorations are impressive, but the puzzles and locks don't fit well into the room, the minds of players will have to leave the scenario to focus on the puzzles. Inconsistency also happens when the different areas (rooms within the room) don't jive with each other. If I walk from a high tech living room into a bedroom that looks like it's in a cabin, it's very difficult to allow myself to be immersed in the scenario.
