I didn't mind that SH4 didn't go SH eventually...the title did say SH4.."The Room"..meaning that SH is taking place in...drumroll............."THE ROOM".....haha....no i'm sure nobody was thinking like that.
Ultimately, tho....I don't have an issue, but the game is called SH for a reason. Any game that takes place in some other location at some point should have you coming back to the town. And it doesn't really have to be an issue of visiting the same areas over and over again simply because every individual character's representation of what they envision of the town itself can be warped through their unique vision of the otherworld.
It's true that some locales have to remain absolute (like the hospital, school..etc)...but other areas (otherworld levels) can be completely foreign due to each individual characters mental. I would go as far as to say that you can even possibly re-shape the fog world of the town as well since you have roads that are broken off and other obscure and abstract elements happening within the town.
It's like sometimes when I dream about a specific place, like an amusement park or building, those areas in my dream might not be exactly as I remember them in reality. They may have portions of how that place actually exists and it might have elements of other places that I might have visited...like the amusement park might have elements of a local or county fair that I visited in the past...or something along those lines...it's why I love this franchise...the rules are so loose that you can really be creative with creating environments and otherworld elements.