I've been steadily playing through Skyrim, and I occasionally reflect on the oddness of a GM-less sandbox video game.
One advantage the GM has is verisimilitude of encounters and interactions.
NPCs can't answer basic, free-form questions. You can't find a store in town, you can ask a guard, right? No. Good thing you have a map but really, you can't ask. Your follower might kill someone in a sprawling outdoor combat and can't show you where the body is so you can search it. You can't ask a storekeeper when something will be in stock or special order it.
Thieves have no concept of target difficulty. Seriously, my guy runs around fully armored and kills dragons, and is trailed by a plate-armored character with glowing weaponry, and thieves will walk up to me outside of town and try to mug me. "Hand it over." Yeah, that's going to happen. But more importantly, they'll fight to the death one-on-two for the chance at some gold against a prepared foe. A GM would recognize this is crazy and have the thief try something more clever (or pick on easier foes).
Encounters scale oddly. Bandits start showing up with plate armor, and you have to wonder who they're robbing to get it. Actually, store contents in games tend to level-scale, so a rich but low level character can't buy stuff that a rich high level character can. While this can happen in a GMed game (and probably should), there isn't much explanation of why. Is my one guy driving the whole economy? I guess so.
These aren't criticism of Skyrim per se, just of the lack of a GM. There is a clear bit of "What the hell?" going on here, because the script doesn't match what's exactly going on.
Okay, got to go slay another dragon.