Someone else mentioned Procession to Calvary - an adventure game set in a cut and paste world of renaissance art with a very surreal plot and sense of humour. Pythonesque.
There Is No Game is pretty hilarious, the voice acting always makes me crack up.
Agatha Knife is a funny point and click adventure game where you’re a 7 year old girl who’s a butcher and needs to set up her own religion sacrificing pigs in the basement for… Reasons.
It depends on the game, character etc. I mean I suppose it adds to the escapism slightly?
I play all sorts of different games though, some where you’re not given the choice (Life Is Strange for example) and I don’t feel like it’s that big a deal