Games

I don't recall enough of 3 -- which I played the least -- to remember how they implemented invisible walls. Wasn't it mostly buildings in DC and rubble?

In Fallout: New Vegas, it was mostly terrain features, cliff faces and the like, though New Vegas also didn't consistently create features that blocked you, so if you really wanted to try to make your way up a cliff face, you generally could via jumping and careful movement. Fallout: New Vegas also didn't always consistently do this, like:

Fallout 4 and to a greater degree Fallout 76 didn't have terrain obstacles at the map edge. They just tried to avoid putting interesting things that draw you to the map edge, so that you wouldn't want to crash into the edge. Fallout 4 does a less good job of that than Fallout 76. For Fallout 4:

There are also some Fallout 4 mods that I've played that tuck things near the map edge, because it isn't used in the base game and they want to avoid crashing into other things, which I think isn't a great idea.

For Fallout 76, the game is designed such that there just isn't really anything that interesting near the map edge, and there's some buffer around it and terrain features that at least somewhat-discourage casually wandering up to the invisible wall in most cases. I think that most players will still try to scout the thing out to the map edge, given not knowing if there's anything interesting there, but of the games in the series, I think that it's probably the "gentlest".

Saboteur had one get interesting things pretty close to the map edge, but gave some visual hints and had one get some warning and get strafed by German fighters and ultimately killed if one went too far. Far Cry, IIRC, had one attacked by helicopters and sharks. I guess those are a little more immersive, but it's still clearly a gamish feature.

IIRC Subnautica did it via just having "soft" walls imposed by resource consumption, letting you travel a long ways.

The Planet Crafter tended to do it via terrain features, but also had some interesting stuff near map edges, and despite that game also using "soft" walls by making it somewhat harder to travel to the map edge due to resource consumption, I recall also feeling like I needed to scout out the walls.

Starfield totally eliminated invisible walls. You want to keep going as far as you want, you can. The game just procedurally-generates more stuff. I think that the idea the developers had was enabling late-game mod content -- there's always more space and one can keep playing with a single character, whereas with Fallout 4, there's a point where you just mostly run out of things to do and go start a new character. That does work, but also gives rise to one of the big complaints about Starfield, that procedurally-generated stuff just isn't that interesting. I think that solving that is probably AI-hard -- you'd need to have a human-level AI procedurally generating content for it to really be interesting.

I think that the best route I've seen to constrain the player and stay immersive is to have some artificial but semi-game-incorporated rationale, like a "you have a bomb implanted in your brain that blows up if you leave the area" or something.