How can you be excited to progress through something when you already know how it ends?
Fire Emblem: Awakening? Oedipus Rex? Actually, didn't a lot of Greek literature eschew suspense entirely by just referencing where things were going, anyway?
I'm always reminded of Romeo and Juliet when this comes up, where they tell you how it ends right at the beginning. The ending is rarely the most important part of a story, and in this case I would say the little things all throughout the game that weren't in the anime is what makes the game stand so far above the anime.
The problem with the Romeo and Juliet comparison is that the ending it's not supposed to be a mystery.
Edit: Of course that's not to say that there isn't a ton of other reasons why P4 is an awesome game, just that for a majority of the game, your overarching objective is "find out who/what is behind the deaths (and stop it/them)"