That's a great point. Even though there are checkpoints - killing an overlord, they don't feel distinct enough.
Well, there are also warp gates, which can sort of let you "checkpoint" through an area (I've used them that way several times), but as noted they aren't very noticeable, even less so than overlords.
It seems that the game actually does have many of the actual things people are saying is lacking, but rather even though it is there, they don't "feel" significant. Like there is checkpoints, but they don't "feel" significant. There is character progression, but it doesn't "feel" significant. There is melee, but it doesn't "feel" worthwhile.*
IMO, these fall under polish, balance, intuitiveness, and "advertising of features" tweaking that can add up to things "feeling" like they are missing even though it is hard to say exactly what. Also, these sorts of things are some of the important things to "hook" casual gamers, but one of the hardest things to do because frequently its nature is qualitative.
*though that is in part due to an objective fact that many enemies are simply better at melee than you can ever be due to many factors, such as knockback, ROF, their melee is passive (automatic, most enemies merely have to touch you to activate their melee, which no penalty to their other attacks) and yours is active (you have to do something, at a possible expense to your other attacks) and there are many of them and only 1 of you
I think it would be better for the game to have a dedicated story lasting say 5 continents. At the end of the fifth continent there is the final boss. Beat him and you wrap the story up but open the post game of infinite continents still needing to be fixed (ruled by lackeys of the final boss that refuse to give up). You can still have a story even with a proceduraly generated game it just has to happen in a different way since no locations are set. What is set though is the settlement so perhaps the story could unfold there based on how many missions you did, locations you discovered or NPC's (randomly thrown into locations) met.
Seems too big to be in scope right now (though you will need to ask the devs), but that sounds like a wonderful idea for an expansion.
AI War did something similar in the Light of the Spire expansion, basically adding a optional storyline to the existing game and giving some very nice rewards and challenges if you decide to follow its path.