I've never played Demon's Souls so I can't really say with any authority. But my problem is less that the worlds don't physically link together (that's more of an annoyance to me), and more that the art style and overall atmosphere of the zones don't match up very well. As if they're completely different worlds. There's no bleeding effect in the transitions between zones -- small touches like those made DS1 feel so real. Also, there's no overriding theme to the game, unlike DS1 which was all tied together by Gwyn and his knights (same argument could be made about Vindrick here, but only in terms of its bosses...), and the fading flame of the world. There's nothing like that driving the design in DS2, and that bugged the shit out of me.