I do feel overwhelmed and intimidated by certain games, and sometimes it's paralysing (right now I'm a struggling with what job to level in Final Fantasy XI), but whether that's a bad thing depends entirely on the kind of "big" we're talking about.

If it's big in the sense of mechanical depth, I adore that. It's like a drug for me. I adore learning and games that reward that are often great for my mental health. Thinking of things like Project Zomboid, Dwarf Fortress, Loop Hero, Noita, or most of Zachtronics' titles. With those it really isn't about the scale of the world or the number of quests (often those metrics aren't even relevant).

My personal problem when it comes to some games like that, is that I know I'll love them -- like Factorio -- but I simply don't get around to them quickly, if at all; because I also know learning those systems will be a not insignificant time commitment. Ironically, that sensation of being overwhelmed with things to learn is part of why I love them, but I often fail to get around to actually playing many such games out of concern I won't be able to give them the time and attention that 'they deserve'. I'm not sure if that's the same as that FoMO you describe.

When it comes to the more conventional meaning of a "big game", it depends entirely on two things: the originality of the content, and the quality of the storytelling; i.e. the difference between Red Dead Redemption 2, and a modern Far Cry title. I would absolutely worry about missing stuff in RDR2, but would struggle to care much at all about modern Ubisoft titles in the same way.