Interesting question.

Why indeed would we choose to enter a simulation as entertainment yet have no way to exit immediatly.

Unless, of course, there was some "error".

Say, a hardware error that has disconnected your "real" memories from your virtual self, leaving you with only the memories formed in the simulation.
or some people choose to live uncountable lifetimes in "permadeath" mode for fun, but gradually lost track of the fact it was even a simulation, believing the "real" world to be naught but a dream.

I can imagine lots of ways an entertainment life sim could go awry XD

Oh, nested simulations. The rabbit hole that never ends !

I wonder what worlds VR can dream up now that VR platforms like Sansara are getting close to release... I'm pinning for super realistic escape room scenario's XD