So by not giving them another option. Sorta like how in some games, lets say Zelda.
Where if you beat the main ending, the game ends, and potentially reverts back to right before you end it.
Or in contrast to like The Elder scrolls and other games, where you can beat the game and just continue along exploring and beating things.
I know in TES series, I often do most everything in the game, except the main storyline until much later in the game for some reason. I usually progress about 30-50% storyline, then diverge off every which way until there is nothing more to do.
But more importantly, none of those really solve the issue, either they don’t really do what you were asking.
The only 2 things I can possibly think of is to somehow set it up that the player knows something bad will happen, or a choice must be made that the player doesn’t want to choose.
For example in GTA 5 near the end [spoiler]you have to chose which of the main characters must die permanently (though its possible for you to save them all) its also possible for you to permanently lose a character[/spoiler]
So in that regards, you must make something permanent, something you can’t change or get back, this means no ‘multiple saves’ where you can try different endings. You need to have something heavy and deep, that the player must fear or very much dislike to have happen. Or a choice too great for them to bear the consequences not just in the game, but as a human being themselves.
Alternatively, the alternative I feel is to simply NOT have an end. Many MMOs don’t technically have an end. Even some silly games like Candy Crush don’t technically have a permenant end.
Especially if user generated content is very easily implemented, then technically there is no end. Sort of like Minecraft perhaps? No real end(though thats slightly changed nowadays)
So the question comes up. You want to have an end state, you want the player to keep playing, and you want them to not achieve the end state.
The only thing I can think of, is to present the end be something they truly do not want to happen, or give them more choices of doing something else. Its almost like, is it possible to make an awesome game, that makes it so players do not want to play the game, but want to talk about how great the game is?
tl;dr;
[spoiler]brain wash them[/spoiler]
Anyway, yes I agree that it would be important to create a strong connection with the protagonist. I think an important aspect of this is to not rely on cut scenes of dialog to do it, though. That would be to obvious to the player. We all know what to expect, that a story is told with words or magnificent cut scenes and we can sit back and put ourselves outside of the story. I think that the immersion must come from the gameplay itself. We have to lure the player into a feeling.