It’s because deep down, those players feel like their characters being labelled a hero is a joke. They know they’re one of untold numbers of other characters being told the exact same thing, all of them being non-canonical while being praised as the central savior of the universe.
Then you can double and triple that sense of it feeling like a joke when you consider how mindlessly hero status is achieved. The big zone story quest chains? Brainless activity that ends with NPC’s praising our characters for dealing with threats that we could take down spamming a single ability. “Hero! None of us could ever stand against that threat! How did you do it!?” “I spammed smite?” And raids? How many people experience the conclusion of these stories in LFR of all places.
With a single player RPG, it’s different, because there you’re not seeing some non-canonical story figure, you’re typically watching a story actually built around an established character, and if there’s an easy mode, the story at least feels like it makes sense still because it’s just about the ease with which you watch someone else’s canonical story unfold. But with MMO’s? It just feels like a gigantic farce. WoW’s story tends to work better the more the established characters of the world are given dialogue that doesn’t even acknowledge our existence.
All that said, there’s one area in WoW that retains the more fitting atmosphere where our various characters actually make sense in the world. One area where seeing all the other players doesn’t break the sense of canon, and that can still deliver on the general premise of existing in the world at the ground level. And that area is… PvP.
Want to feel like a common grunt who won’t get fake, unearned praise for being a savior, and instead will probably even get blamed for minor screwups? PvP is where you do it.