I think it's a know-your-audience thing.
1) You don't want the more valuable part of the gift to get lost because it's been so well-hidden. Like the gift card in a deck of playing cards is such a clever idea--BUT, if it was being opened in a chaotic environment, with the kids running around screaming and multiple people opening gifts at the same time, it would be easy for the recipient to overlook the extra, valuable card or casually hand the deck to their child or something like that. This is how gift-opening always was among my extended relatives, anyway--chaos, and sometimes it was difficult enough to figure out who a gift was TO and FROM, let alone anything more complicated.
2) You don't want to make the person feel put on the spot, made fun of, or embarrassed. Like, I would be embarrassed to become the center of attention if someone gave me a gift that had to be broken open, or accessible only if you solved a puzzle or something. I might just smile, say thank you, and slip it into my purse to deal with later.
But if you know the person and the environment, it can be a lot of fun. I've always liked the idea of hanging a gift card as an ornament on the tree and making the person hunt for it. One year I bought my mom actual ornaments and put them on the tree, and she had to identify the new ones. But it was only the three of us there and I was eager (probably too eager!) to point them out when she couldn't find them.