Personally I find it odd when I hear a Caucasian or African male speak Japanese in heavy Japanese tone & females in ultra high pitch voice which the case almost all Japanese games tend to have. Rest aside the voice acting in Star Ocean 4 was horrendous in both English & Japanese, I believe this happens when people tend to have only teenagers as voice actors.
It's not really that complicated. I used to love English novels as a kid, while my native language is Dutch. Very quickly, English to me became the magic language of fiction and fantasy. Sure, I didn't understand it as well as I understood my native language (though that improved fairly quickly of course), but I still liked it better. Why?
There are several reasons for that. Back then I would have replied that English offered me an alternative reality, with its own language that wasn't tainted by every day use nearly as much as Dutch (my native language) is. To give a simple example - to me, the word 'Dragon' would mean an amazing, huge, beautiful fire breathing beast in English. In Dutch, however, a dragon (draak) can also mean 'large, ugly and clumsy'. Of course the story won't describe the dragon as such, but the connotations are there, consciously or subconciously.
But there are more obvious things at work here. In the case of a game, which has plenty of imperfections, having the original language available solves some imperfections and hides others.
Imperfections solved that I am personally very sensitive to are games and movies where the overdubbing has to find an always ugly compromise between making the actual words and their enunciation being mangled to match the mouth movements on screen, or having a huge discrepancy between what mouths do onscreen and what you actually hear. Of course there are also plenty of things lost in translation.
Imperfections hidden include a lot of problems with bad voice acting. You simply won't be able to tell in most cases whether it is bad voice-acting, because you don't know the original language well enough to tell whether the intonation is off, there are unnatural pauses, exaggerated stresses, etc. Now this may mean you lose some information, but generally particularly the acting in games isn't subtle enough for that so there's typically a net gain.
So in short, the original language is in many cases quantifiably better at achieving suspension of disbelief and immersion in the game world.