I don't think that immersion is as crucial as the reification of The Magic Circle in design circles makes it sound. The first examples that I can think of in this regard involve playing together with other people. Believing in a game's structures is often secondary and can be easily broken with writing, scenarios, mechanics, or, alternatively, with commentary from people playing or watching a game. That isn’t necessarily a bad thing: in fact, laughing at a game might be a sign that players are having fun.
The first example that comes to mind for me is Resident Evil 4 and its remake. If players are meant to really buy into Leon, Ashley, Ada and the gang in a serious way, then Capcom blew it. But I don't think that is the idea behind the game. Instead, Capcom's teams made a game with fun (and funny!) oscillations between gore, danger, pressure, and cornball lines that are delivered amidst a ludicrous plot.
This is all the more noticeable if someone is playing the game with someone who is watching, whether that's someone else on the couch or on stream. It would be strange to take a game like Resident Evil 4 overly seriously. If I saw someone doing so, my first thought would be that it is part of a bit. After all, the game's own writers and performers frequently seem to have made an effort to take players out of it. As with other kinds of play, I think they break the circle because it is fun to do so.
That's a videogame-specific example, but I think this extends into play, in general. Watch a playground game and you'll find all kinds of commentary, in-jokes, and communication. That is facilitated within the shared frame of a game or even plain old unstructured play. It's also a little absurd to suggest that a feature of play is that it has a stop and end point, but that's a separate criticism (if you want an example of why that doesn't make sense, consider the ongoing baseball game as put on screen in The Sandlot).
I know, as Zandian points out in his blog, that Huizinga’s magic circle concept drives a distinction between this kind of play and pretend. I think that's a fuzzy distinction, however, because in play and pretend I think it's easy to find examples in which the magic circle is frequently broken. The actors in The Sandlot portray kids who are playing their version of baseball and they also, sometimes, kind of pretend to be like the baseball stars that they admire. That doesn't mean that the characters of The Sandlot need to create a space for baseball in which they "never leave this world [of baseball] and break immersion." The game comes with them everywhere that they’re having fun, but it’s having fun together that makes the game, not the believability or coherence of its world.
In a design sense, I can see the magic circle seeming like a useful frame to have in mind. But it's not a very good description of play or pretend. I also think that if, as Zandian recommends, one tries to follow Huizinga’s logic in every aspect of designing a game, there's a good chance that designers will miss out on making something fun. And then, thinking of other industry examples, I bet there's some connection between following those principles and having that scary moment of thinking, "wait, where did the fun go?" I wonder if the fun left because play and pretend were being taken in an overly serious, restrictive sense.
This all makes me think of a type of experience that I've experienced and that I think is probably widespread amongst gamers. It's the kind of moment when someone else encountered a game that I was playing, interrupted it, and then I responded badly. Examples range from being as immature as to snap at a parent who insisted that I pause Super Mario 3 for dinner or as immature as snobbishly looking down on a college friend who said that Go resembled Othello. Guess what? Neither of those moments resulted in the other person becoming interested in the game that I was playing or taking it as seriously as I would have liked.
It’s far more engaging and enjoyable to be sitting together with that same friend, years later, laughing at the excellent line delivery offered by Nick Apostolides as Leon Kennedy and Genevieve Buechner as Ashley Graham. It’s goofy and fun and it nicely compliments frantically crafting rifle ammunition to deal with Novistadors in the following chapter. It’s like putting salt with caramel. I can still get into the tension and horror of Resident Evil 4, but it’s also enjoyable to recognize the absurd circumstances of fighting a nest of humanoid bug monsters in the middle of a castle while heavily armed with a briefcase full of weaponry purchased from an arms dealer who is somehow always where Leon needs him to be. Play is flexible enough to allow for both the tense and the silly qualities of the game.
Zandian closes his blog by writing, “While there are always new and better principles, if we understand the true nature of the human brain, how it plays and pretends, and how a magic circle is shaped, we can always create better places to play.” I would suggest that it’s just as, if not more valuable, to take a look outside of the skull and watch how people play. Developers might find that there’s more fun to be had in interaction, in all its messiness, than in an encircled boundary.