I imagine part of the reason CS1 started this way was because the Japanese audience was already aware of the fact that "shit goes down at Garrellia Fortress" through the Crossbell games as well as what that lead to, so putting the protagonists at that very spot and knowing that's where they'd end up eventually was a nice push for players to keep playing until that part at least.
Or, to put it in numbers,
check this page out. (the top one is the percentage of players who completed FC's prologue, next ones cover Chapter 1, 2 and 3)
At the start of FC, Falcom may have been naive and believed everybody who started the game would at least have the attention span to keep playing until shit got real. Then reality set in. The fact that they started adding "hooks" at the very beginning of Zero, CS1 and CS3 means they wanted more than 42% of their players to make it past the prologue and 26% of their players to make it past the next chapter and they wanted the more attention span-challenged part of their audience to stick with them past the slow starts.