Voted yes, but it really depends. I classify all non-human and non-standard animals as monsters in games, and do like to see some sense in them. I don't really need to know why they exist, but rather how they exist in relation to everything else.
If you have hordes of hostile monsters roaming about, I doubt you'd find many settlements without walls and people to defend them. So, when I see roadside inns and hamlets in games that have a lot of hostile monsters, and the people in that world acknowledge the existence of so many hostile monsters (hiring you to kill them, save people, etc), I struggle to immerse myself in the setting. You can't just take medieval Europe and throw monsters and magic in and expect it to stay the same. It wouldn't be the same by any stretch of the imagination.
Knowing a dragon lives nearby, one that is preying upon people and cattle both, would result in more than just folk hanging around moaning about it; they'd probably leave in reality if they couldn't chase it off. If the dead are known to frequently rise and feed upon the living, then why would you ever see isolated houses outside the safety of a town wall? Why would anyone ever create graveyards inside a town? Hell! Why would they create graveyards at all? It's the little things that make monsters seem like they actually belong in your world that help create a sense of believability. That's what I like to see in games and stories.
If monsters are less numerous and more supernatural in nature (cursed beings, demons, etc), then I really don't need to see how they fit into the wider world beyond a vague explanation linked to superstition, religion, etc.
I'm the kind of person who likes to be able to see hints of a wider world, even if I can't visit those areas. A large city with out of bounds areas that makes it look far larger than it actually is, for example. I also like to see farms, merchants selling more than just weapons and armour, signs of culture outside of prophecies, and other such things.