The loading screens don't bother me, sure I have nothing against the open world (besides story progression), and I find it a nice change in gameplay when i ocassionally play TS3, but I don't miss the open world at all anyway. The TS4 loading screens aren't slow either when you play on an atleast decent computer, so there's nothing I can complain about.
You need to think about why the loading screens are there and what their advantages are. During the loading screens, sims are directed to spawn at the lot (I think it is like this? Correct me if I'm wrong). This makes the lots much more populated than in TS3. And if it means we don't get these rabbithole buildings anymore, I'm more than happy about it.
And really, the restaurants and theaters from TS3 store were a joke. @Sigzy05, I understand your point, but everything I can see in your pictures are empty lots that are not really immersive. That's the reason we have loading screens in TS4. I'd rather wait a few seconds and have a populated lot that looks realistic and believable than an empty lot with no one but my sim around, just for the sake of an open world.