Not particularly, no. If a setting is engaging enough, I might want more stories in that setting. But I haven't found what passes for emergent gameplay in present-day sandboxes to be deep enough or compelling enough to stand in for a plot. Which is why so many sandboxes devolve into becoming murderhobo simulations or meme videos imo.
Plot exists because even a fantasy world would be boring for 90+% of the inhabitants, who'd just either be trying to survive or live their lives. I don't want to play the Sims. Give me a hook, a goal, and a reason to play and care.
Again, just my opinion; I know I'm likely in the minority here.
I agree that most sandboxes are too shallow to get the player invested without The Big Foozle to kill. This is more an argument for deeper gameplay than for slapping a plot on a sandbox though.