The greatest weakness of this manga is how slow everything moves. The monthly releases aren't helping either. The characters are spread so thin and the main character is spread thinnest of all without any kind of development except, "I did this back then and this too!" while everyone gets on their knees to kiss the ground he walks on without ever really contributing anything.
There is some kind of faux complex the MC is going through about, "How much does he want to leave?" but its only becoming more and more obvious that he won't leave and he has shown little to no connection to the outside world. He lived, and lives in this game and with the lack of any kind of opinion or even viewing of his life outside that game basically tells us he is is going to stay. The ending wrote itself.
You nailed it. It's getting pretty hard to keep track of characters and settings now because of both the monthly releases and the fact that the full cast isn't put to enough use that we remember them. On top of that, the supporting characters themselves are just not memorable as it is. I say this even though I like several of them. I'm glad that the orphanage and that angry spear wielding mercenary are getting more screen time, perhaps they can rectify this.
Also, I'm getting really sick of generic fat ugly nobles and clergy as villains. Especially in isekai. One thing I appreciate about some major Shounen series is the memorable and persuasive villains you sometimes see. Sure there are plenty of nobodies wandering around that show up in time to get thrashed and that's fine, but if there's a whole canonical arc or mini-arc we get good character designs for most of the villains and some exposure to their line of reasoning beyond a desperate bid for money and women. I'm just thankful that this fat ugly generic priest villain didn't try to physically assault the nun.
Meanwhile the philosophical element of the narrative, of leaving things behind and which place is really his home, is a non-question, because as you say, we have nothing to contrast it with. Shin either talks about the game world in the past, or lives in the game world in the present. If this was supposed to be a hard choice, as his character arc hints at, then you'd suppose we'd see his original life in the real world, but we don't. Therefore the ending is predetermined and he absolutely won't leave the game world.
I say all this and yet I still avidly follow this series because I was very impressed with some of the early Arcs and I still like a lot of the cast.