Persona 4 is, at its heart, a story about facing, coming to terms with and ultimately accepting the parts of yourself that you'd rather not, so that you can become a better person on the other side. Characters earning their persona is only the first step on that journey; they continue to work on accepting and overcoming their issues as the game progresses. Most of the character arcs in Persona 4 could be told without teenagers solving murders committed in an alternate dimension inside their televisions.
Persona 5 is about characters feeling like other people just don't "get" them. Also adults totally suck amirite? And in addition to being inextricably linked to the story, the cognitive "Palaces" aren't based on the psychology of your teammates (i.e., the people you should care about), but of your opponents.
I had to struggle to care about most of my confidants in P5; any S-Links I maxed out felt like obligations rather than relationships I wanted to pursue or that I just fell into. Persona 4 Golden's S-Links didn't universally have rewards - only your direct party members' links would benefit you outside of bonus fusion XP - but they were so natural and the characters interesting enough that I didn't need that carrot to drag me through.
This might be a function of where you start as P5's protagonist - a total outsider, even by "transfer student" standards, with rumours of a criminal record causing NPCs to hold you at arm's length (at least until you start building your party and the mumurings of anonymous classmates loses its impact). There aren't any club activities to draw you into social circles outside the party, at least until you start taking advantage of your teacher's part-time job or get involved in questionable medical experiments (for a reason I can no longer recall) - both of these older women are romanceable, though it's difficult to tell who's being exploited more in these troubling relationships.
Your progress with sidequests is constantly stymied by the game's refusal to let you just do things; there's a significant chunk in the middle of the game where it felt like Morgana wouldn't let me do anything with my evenings, leaving my S-Links and part-time jobs in limbo for no readily-apparent reason.
And the story employs an in media res device that is designed specifically to withhold information that your character knows from the player - all so that a plot twist, which didn't land anyway, can work on its most basic level. Which isn't even the only major disconnect between player and character knowledge - its obvious to the player from around the second dungeon who the big bad is, but your party continues to fumble their way towards their reveal frustratingly slowly over the next fifty hours of gameplay.
All of which is intensely frustrating because Persona 5 is, mechanically, light years ahead of its predecessor. While previous entries in the series used procedurally-generated dungeons, the Palaces in P5 are bespoke, crafted levels - which allows for more complicated puzzles and set-pieces that wouldn't have been possible in P4G's random mazes. (That these dungeons often outstay their welcome is another issue.) P5 has its cake and eats it, though, with the Mememtos labyrinth providing a randomized grinding playground as well - which also feeds into side-quests and the main plot at different points.
The battle system's been streamlined, they've added ranged weapons (and frankly, too many damage types), and allowed the chaining of attacks when you hit an enemy's weak point. If you Down all the enemies on the field, you can negotiate with one to get extra cash, take an item or add it to your Persona roster.
It's made me very excited to see where they evolve the series next (in about 2024, if there's a similar break as between 4 and 5), but as much as I'd like to see the end of some S-Links and subplots I didn't get to this time around (and want to date someone who's more interesting than Makoto turned out to be), I don't know if NG+ is all that tempting considering how tedious so much of the game can feel.