This has been the case with every Rockstar game since San Andreas, which I think is the last major Rockstar game to give you the illusion of agency during missions. It most stood out to me, though, in GTAIV, because that was the first to really limit you with how you approached missions.
Now, no Rockstar game has had true agency since they got critical/popular acclaim with GTAIII. All of them limit your agency in some way, but GTAIII through to San Andreas were all rough around the edges enough to let you beat the mission in ways that you wanted to beat it, which made the game feel like more of a sandbox... It's where the phrase "sandbox" came from in regard to these games. For the most part, if you wanted to take your car and drive to drive over the bad guy to kill him, or do a driveby, or get out and take him on foot, or crash a helicoptor into him, ... you had that ability to do so. Contrast this from almost any realistic action game of that era, which gave you a scenario that you had to play it from the way the game wanted you to play it, and GTAIII, VC, and San Andreas were such a breath of fresh air.
One of the examples I use the most with this is San Andreas to GTAIV. In San Andreas, there was a mission where an enemy you have to kill arrives at the scene, and then after a cut scene, jumps onto a motorcycle and rides away, and you have to either kill him immediately or jump into your car, chase him, and kill him en route. This is a mission that I failed the first time, but then thought about it, and knowing where the motorcycle would spawn, I parked my car near by and then triggered the scene. Lo and behold, the enemy crashed into my car, but the games scripting kept him on his cycle, but it was enough for me to take out my gun and take him down. It felt really satisfying to me to do this, like I had done things my own way. And I played the rest of the game looking for opportunities like that. Even when the game scripted most sequences, the existence of that one moment early on made me think of the entire game differently because it made me look for creative opportunities to handle situations... Using enormous trucks instead of cars, dirt bikes, helicoptors, more.
Similarly, in Vice City, in the final mission where you take back your mansion ... that was a hard mission ... but after dying once or twice, I smartly used a helicopter to start the mission, so I was able to quickly jump in and out of my chopper to head to areas of the map to get health in the middle of the mission. It made it kinda cheap, but it was a level of creativity that I enjoyed. Even though it made the difficulty of that mission less and dropped the believability of it (why would my opponent just ... stand there while I jumped into a helicopter, flew away, ate a pizza, and flew back?), it made it feel that much more rewarding to do things my own way.
But that all changed with GTAIV. GTAIV went for a heavily scripted experience. Pre-release clips of Niko jumping onto cars and hanging on for dear life, things that would have been built in as mechanics in previous GTA's, were now scripted sequences. Forced train derailments in things like The Ballad of Gay Tony -- features in GTA:SA -- were now scripted mission sequences that you couldn't do on your own. Not only that, but the game typically gave you the car to drive before the mission ... Your cousin would say, "Hey Niko, get into my car you drive..." Which was very different from past GTA's where, typically, the game would just prompt you, "Pick up Mike Torino," but you could use whatever car you wanted, a fast sports car or perhaps a hulking monster truck. In GTAIV, if you didn't get into Roman's car, the game would prompt you "get into Roman's car," and fail the mission if you didn't comply in a timely way. Likewise, using the environment to setup hazards didn't work anymore either. In the bank heist mission, I died in the alley the first time and decided "oh...hm.. okay next time I'll place a car right at the getaway sequence.." figuring I could jump on this car and just lose the cops. It seemed like something a previous GTA would let you do... You escape the bank with the money, all you have to do is lose the cops. But... that's now how GTAIV worked. When I Replayed the mission, nah, my car was gone, removed from that scene. I got it from a technical POV, when the mission starts the world drops all of the assets/models from it and gives you the world to play in, but that illusion from GTA San Andreas was broken completely. Where GTA:SA (and III and VC) gave you the illusion that you could approach scenarios however you wanted to approach them (even if you couldn't in most instances), GTAIV killed that illusion and made it very obvious that, no, you have to play through the missions how we want you to.
Another instance of this is with enemies who can take infinite damage. The first instance is the first street tough that you chase in GTAIV, the game tells you to chase after and kill him, but it doesn't tell you that shooting him does no damage or that he's invincible. It's all because the game wants to setup a contrived choice because the antagonist flees to the roof, falls off, where you are given a choice to save him or kill him in a dramatic way. The problem is when you notice that he's invincible for the first 90% of the mission. It loses the impact, it makes you feel like you're just playing through a movie.
GTAIV was the first of the GTAs to really go all in on this concept. Sure, previous games limited you in some way, but most didn't. If you shoot down Mike Toreno's chopper in GTA San Andreas (San Fierro chapter) with 1 well timed shot right at the entrance to the free way, then you take him down. Or, you can chase him down the freeway where he might escape or give you one last chance to kill him. In GTAIV, this would have been a contrived moment.
RDR hid the illusion of agency much better: It's a game on horses with low powered weapons, but it also came out after GTAIV, the game that made it painfully obvious that agency is gone, that any illusion of agency simply isn't there anymore.
Rockstar games are worse off for it, though I think I've come to just accept it more now than I did initially, which really disappointed me with GTAIV. I don't think it's any more or less agency than most other major action games, save for games that really focus in on playing your own way (like say, Dishonored, Prey, Deus Ex, Hitman, etc). FOr the most part, Rockstar games give you more agency than most other major action games like, say, Uncharted, Last of Us, Tomb Raider, Assassins Creed, etc (this may not be the case with the latest AC game, but is up to ACIV, the last one I really spent a lot of time with). But, still, I'd like to see more, but sort of doubt we will. Most missions that I've played in RDR2 have periods of being heavily scripted and then periods of being able to approach them your own way... They don't "force you to fail" like a lot of other action games do (e.g., funnel you into a predictable failure area to progress the story... this is a very common concept with Uncharted and Tomb Raider). But, still, there's not enough illusion of agency in these games anymore, and there likely never will be. The allure of making tightly scripted sequences like in Uncharted is too much for Rockstar and they go that route... they're very easy to sell to casual fans and press, but I think it's the wrong interpretation of the complaints following GTAIV.
GTAIV got a lot of criticism for "not being fun," and when GTAV came out, I think Rockstar interpreted that to mean "We need more over the top set piece missions akin to Uncharted." Which... we certainly got, and most of them were pretty good. But, a scripted mission where you have to fly a small plane into another plane in order to blow that plane up and drive out on a jeep that parachutes down, that's a cool set piece (taken from Uncharted), but when I think of fun mission design, I think of a mission where I could take my car, jump onto a boat, and then siege the evil drug dealer's yacht from my boat ... Or I could break into the military base, steal that jet that I've had my eye on, and use the jet to kill all of the drug dealer's henchmen before I parachute down onto the yacht and take out the drug dealer. GTAV offered fake agency with some mission choices this way, but it didn't allow you to define those choices the way that GTAIII, VC, and San Andreas did.
Ultimately, it's just a decision of game direction. The Uncharted-esque setpiece moments are easier to tell stories with. You can control your so-called "ludonarrative dissonance" (as much as I hate that phrase) issues better, which was a common critique of games from enthusiast groups at the time. But, ultimately, I think you lose all of what makes the sandbox a sandbox, which is a loss for the genre.
