The appeal of Nathan Drake is that he is a decisive character. He might be flawed, imperfect and not always able to make the best decisions yet he will always make a decision. He doesn't hesitate, he acts, often with little understanding of the full consequences of his actions but still with an appreciation of the danger he will face. He is heroic precisely because he makes decisions and chooses to act even when he knows the risk. Though described as such, he is appealing precisely because he is not an "everyman"' a real "everyman" would have fallen to his death within the first few minutes of Uncharted 2: Among Thieves. We want our heroes to be relatable and fallible, but still heroic, still decisive, still decidedly not mundane.
That's why the most uncomfortable parts of Among Thieves are precisely those when the way forward becomes unclear. For Drake there is always a way forward even if it's not necessary the best choice in the long term. The appeal is in being able to have that certainty of purpose, that knowledge that there is always a way forward even if it might be the more dangerous path. These games are not about the choices the hero makes, but about the drama and emotion of operating in that decisive manner.
It might seem antithetical to the concept of interactivity but the inclusion of more agency into a game like Among Thieves would be detrimental to the appeal of playing as Nathan Drake. Choices lead to hesitancy, and deliberation, traits that Drake might possess but ones that rarely come to the fore when decisions need to be made. Stubborn, yet able to be swayed by the opinions of those he cares about, once he's set himself on a course of action he will follow it until the end, even if it might mean his death. The appeal of playing such a character is fundamentally tied to this focus on the task at hand, this need to not make decisions, to not take orders, but to act.
Even the most limited moment of interactivity creates an immediately closer sense of association between audience and action than existed prior to that point. Even in a heavily scripted game such as Among Thieves players, when recounting their experiences, will not say "Drake..." rather they will describe the events as if they occurred directly to them.
When, after fighting your way through a heavily defended train to try and rescue her, Chloe tells you it was a mistake to come back, the sense that you have just wasted your time is one shared by both player and protagonist, though the intensity of the sensation may be different. Would the reaction have been more powerful if players had been given a choice of whether to try and rescue her or not? Potentially, however in such a situation Nathan Drake, simply wouldn't have made any other decision. No heroic character would, it's the difficult path, the dangerous path, and the only path such a character would ever choose. That's what makes them the type of person they are, the type of person we want to feel like when we start playing. We choose to abdicate ourselves of the pressure of making those big decisions in the knowledge that Drake will make them for us; he is not like us, he is the hero we wish we could be more like.
What good the choice when there's only one path that anybody would reasonably be expected to take? Is a false choice any more meaningful than no choice at all?
If a game features a well defined protagonist then the notion of including the option to behave in a way that goes against the nature of that protagonist is foolish, the very appeal of such a character is that they are already defined, often as a heroic character. Why introduce the seconding guessing and evaluating that comes from the inclusion of choice?
Among Thieves is not a game about the selection of the right tactics, or the development of complex strategies, it's not a game about making choices. It is a game about the tension, fear and drama inherent in being heroic. It is a game about action, the quintessential action game.