Those teases were really working at the time, at least for me. I think we're all sick of it by this point but if the point is just to keep the player engaged then all that BS is doing what it's supposed to. I hate to justify a thing like Lost, but if it gets your attention, then it's working. Even Heroes, with its inexplicable return of Shadow and the wall-to-wall clones, that was great stuff to "tease" even if it ended up being pretty meaningless (it was meaningless, right?). I have a suspicion that I'm just playing Iizuka's advocate, if he thinks Shadow is the best character and then gives the Shadow game itself this BS choose-your-own-adventure aspect where you get the impression that he didn't care about the answers either.
While I didn't think the Shadow story line was especially good, I did find it engaging and was hooked by it.
I think it suffered from Sega going multi-platform after SA2 and having to release a Sonic Heroes. It would have probably worked better if they could have gone straight to Shadow
The choose-your-adventure gimmick was rubbish, but it did have a canonical ending at the very end.
Wouldn't Colors be a good example of this?
The opening narrative hook in Colours is:
"Eggman's Theme Park: A form of redemption or a trap?".
You can work the answer to this by looking at the back of the box (or watching the FMV intro), so it isn't really an engaging story.
It doesn't help that Sonic and Tails are the only ones on the theme park. They should have had some innocent children to create the tension of a hostage situation.
To save the Wisps, Sonic has to travel to the different planets. However, doing this doesn't bring the player closer to a conclusion, because there aren't any questions to resolve.
Midway through, we get the plot twist of Eggman's mind control ray. This would have been a perfect chance for the story to redeem itself, perhaps with Eggman using it on Earth to make the human his slaves and forcing Sonic to pick between saving the Wisps or the humans. Instead, the ray is resolved in the same scene.
Sonic eventually reaches the end. The only thing that indicates it is the end is that its the final stage on the level select map. There isn't any narrative tention to indicate that an ending is about to occur: It could easily just be another level.
The characters are really poorly handled. Sonic comes across as an over excited pre-teen suffering from ADD. Eggman has his moments, but he wastes too much time messing around with his blundering henchmen (why would he create such idiots?). Through out the story, there is a strong sense that if Sonic just left the theme park, Eggman would destroy it himself due to his own incompetence.
To be fair, the DS version was much better as it worked in Sonic's friends and set up little mysteries around them (although they all had weak resolutions). But Colours is easily one of the worst Sonic stories.