This is the way the game begins, the mood is set right away with the music and the long camera tracks down tunnels, past people, constantly moving forwards.
As someone who likes to explore broadly while gaming (rather than sticking to the main path of A to B to C) this game might have been frustrating, but it managed to take me along on it's journey. You have a purpose and a reason to keep moving, in the Metro there are dangers and understandably narrow paths, outside the air is toxic and you have limited gas mask filters (time).
The save system is unusual in that there is only 1 autosave slot and no personal save slots. If you stop mid-level the last autosave is the only way you can continue without starting that level again. After you finish levels you can go back to any previous one and begin at the state you reached it though.
This can be troublesome if you have an autosave right before getting shot at, or when you are desperately running out of air filters and can't make it to safety. What that drawback achieves is a sense of really important decisions for everything you do. My instincts have me wanting to check out every room in this house and loot every body, but my air filters have 2 or 3 minutes left so I will skip the upper floor unless I get lucky and find filters on the ground floor.
Being based off a series of novels there is a well formed world to draw from and lots of background that can be added to the people you meet. I am sure I missed out on a lot playing through the first time due to the pressure to keep moving and not being able to explore every fork in the road as it were. That gave me a different kind of gaming experience though, which is itself worthy of trying.
It's all too convenient to just go back and load a save if something goes wrong or you mess up in most games now. Living with the consequences and finding out how you can deal with the outcome can be instrumental to learning new techniques or improving your skills. I know from the early days of Catan that staying the whole game after you think you messed up settlement placement at the start, or you are in a hopeless position, taught me all kinds of ways to deal with situations and win from any kind of scenario.