Hey Zos, quick suggestion:
Have quest NPC's say something to your character in the real game world after you have closed out the dialogue box. Just a simple, bye, okay then, see you, farewell, or whatever colloquial saying that culture might have. Would be more immersive than those weird guard comments on us doing some lvl 2 quest we never remembered.
Sometimes the quest dialogue seems like you are talking through a window and not a person in the world you are in, so this might help build up that immersion more. I feel like a lot of games have this feature.
Just a thought.