I think your problem is overall writing ability rather than settings themselves. Fantasy is harder to do overall, simply because you aren't used to it. In a realism setting however, the setting doesn't really matter since you're used to it.
But there is one avenue in which fantasy is unparalleled; world building. In a realistic setting, you are already familiar with the world. The writer has to do very little to realistically connect you to the world you're reading. This means that all of your biases and indifference for the world translates over into whatever it is that you're reading. This is because you don't care much about the world itself and instead focus all of your attention on the plot and characters.
This is actually a double edged sword. If you don't connect with the plot, or the characters, dramatic moments can fall completely flat, or at least lose much of its overall impact. Fantasy doesn't have this problem. The Elder Scrolls games are a great example of this. The plot of Skyrim wasn't great, and most of the side stories weren't much better. But the world building? It made everything worth it for many people.
This isn't to say that plot isn't important for a fantasy story. In fact, plot can be even more important for fantasy than reality. Look at Game of Thrones. That series destroyed everything using plot alone. While I'm sure the books at more world building, the world building in the show did leave something to be desired, but the plot carried the whole thing. The perfect combination of the two may be the Witcher series or Dragon Age: Origins.
Additionally, in a fantasy setting, dramatic moments can actually have more impact than a realistic setting. This is because the setting itself allows you to break whatever preconceived notion of reality that you've formed while living in reality. In both cases, if a plot point defies the overall world knowledge, it can be quite distracting. If an action hero jumps out of a 30 story building and walks away, you instinctively recognize that it isn't possible. A good fantasy doesn't have this problem. If the world itself has been designed to make it possible, then you are much less likely to notice the irregularity and as such stay immersed in the overall plot.
This is actually why the overall literature community has oftentimes looked down upon fantasy. Simply because of world building, authors could do literally anything they wished to do. Making it seem as though making a work of fantasy is far easier than a crime drama.
Also, fantasy has grown to a degree that many people no longer have the same disconnect with it that they once did. The rise of 'generic fantasy' aka Tolkien-Fantasy and Anime-Fantasy have become so common place that one doesn't need much to understand the world itself. While it isn't true for everyone, it does make it much easier for some to connect to a story. Sometimes even as easy as a realistic story does. This means that the only advantage that a realistic setting actually had isn't as much of an advantage anymore.
Plus, there are so many different types of fantasy to consider which ultimately just makes this whole discussion difficult. Do you mean Tolkien Fantasy? Urban Fantasy? Each one has different settings which overall changes how the setting itself is perceived.
How does this all effect adult games? Well, adult game devs aren't exactly the best writers. Even the best writers we have are forced to bend the rules of both settings in order to add a set amount of sex scenes or specific tags. This often comes at the expense of world building, plot or even characters. This fact holds true regardless of setting. Hell, many characters and plots only exist simply to incorporate sex or tags into the game. Causing them to become less important compared to the adult content.
It's because of this that most 'reality' games are more urban fantasy. It's simply easier to bend realism if the world itself isn't supposed to be realistic. In this regard, fantasy is actually better overall, with or without strong world building. Simply because the plots and characters can revolve around sex or tags and still make it believable for the world itself.
