Visuals are a big part of it. Handheld games were designed for their specific screens and that gets lost when it's emulated on a modern screen with upscaling and different colors. It's hard to emulate in the original screen size as well, which makes the picture even worse and forces filters.

I also find playing on real hardware makes it much easier to isolate from distractions you'd get playing on something else, allowing you to just get comfy and more immersed in playing.