so, is there a way to make a RPG that can provide shortcuts for those that want to use them, without ruining immersion for those who don't? that seems to be the real question.
Designing the levels better, so there are natural shortcuts (one-way or two-way that gets unlocked) as part of the terrain.
Pros: It's natural, and explorers enjoy it. It's quick, so every gamer likes it. It doesn't force it on the player, so he can use that new exit to continue exploring the dungeon even deeper.
Cons: It's still not instant. Players may not have reached the shortcut yet, so they still have to double-back - but this distance can be reduced depending on clever placement of the shortcuts.
Dungeon shortcuts can even permit you to make larger dungeons (while still having them really content-dense). Imagine a cavern system that's really really huge (with unique visuals and enemies depending on where you are in the dungeon) - players can journey into it, open up a shortcut at the end of one section of the cavern, return later and continue journeying deeper, open up additional shortcuts deeper and deeper into the cavern; and if the cavern has multiple branching routes, then they can be progressing down one route and then try the other routes by jumping to different locations in the cave using the shortcuts.
Some examples of dungeon shortcuts can be jumping over a tiny ledge that you can't jump back up (or jumping down a hole to an earlier floor), lowering down a rope or ladder that you can now use up and down whenever, accidentally triggering a small landslide that forms a new ramp, knocking over a pillar-ramp, unlocking a door from one end, blowing up a wall from one side, a large defeated boss falling over sideways breaking a wall or falling off a small ledge and forming a corpse-ramp, ceiling collapsing and the debris forming crude steps, etc... Or shortcuts can be always accessible (where it doesn't mess up your event triggers) but just hidden.
And by making more content-dense areas in-general, you're already reducing walking distances even without shortcuts.
One way of making content-dense and many-shortcutted areas is to go in the more Deus Ex direction and make every area have multiple ways to get through it. The areas then naturally feel more dense, have more choice, and you don't have to walk as far. Though I have more of a feeling of missing stuff, if I'm constantly choosing between multiple paths.
I wonder what a good rule-of-thumb for walking distances is: Maximum of 2 minutes of non-combat walking and max of 5 encounters, to get back to the nearest hub/safe-place? It'd have to be tweaked per game, ofcourse, and walk speed would obviously affect that, but if you can figure that "acceptable limit" for your game, then you can weave that into your area designs.
For me as an explorer player, portal-type gateways are also fine in-world methods of quick-travel, but I know some people who dislike portals as "attempts to shoehorn sci-fi teleportation into fantasy worlds", so theming is important there so it seamlessly fits in the world's theme.