If you are asking for a difficulty setting where you can hide the level, I can see that as a viable game difficulty option for hardcore types, but requesting that the level is hidden by default for most players I am fairly certain would never fly, heh

It's important so that you know if you are ready or not for some set difficulty/encounter. No level and just letting players get destroyed without so much as a hint would make for a pretty awful and frustrating experience. As if we didn't quick save/load enough already. For example, In EA you can access the underdark early on if you stumble across an entrence, but everything in there is like 2 levels higher vs when you would typically discover it.
But like a difficulty setting a player can set - yeah totally.
Also as far as "Immersion" goes, I would say right now the entire game is Immersion-breaking since you can somehow rest under the moonlight while venturing through the udnerdark. So some of the other stuff that may not make sense pales in comparison to the "camp" idea. Give me back my tavern!