A massive hole in the middle of the world

So,you want to write an SF story about parallel worlds.  Fair enough, science is sure they exist, even if we haven't yet figured out how to move between them.  But if you're an SF writer and your characters move between parallel worlds then I do expect you to know how they do it.

Which gives you great freedom to make things up, seeing as we don't know how to do it for real.  Yet. But I've recently finished reading a well-regarded SF novel that didn't bother to explain this rather crucial fact to me.  

It seemed that you could pass from one city to the other, provided you went a specific way and had your entry visa.  It looked as easy as driving down a road in one city and coming out on a road in the other. No suggestion of matter transfer, and seemingly no deleterious effects due to the matter in travellers' bodies being torn apart and reassembled.  No sickness, no loss of memory,  in fact, no noticeable physical effects of changing realities at all.  And yet these two cities were supposed to occupy the same space.

Mmm.  To me, that's too good to be true.  It sounds like wish fulfilment.  I know, I know.  Speculative fiction boundaries are fluid and ever-changing,  and maybe I'm just prissy to be wanting some half-feasible scientific background to the stories I read.  But I do.

I find it hard to believe there's no physical price to pay for moving between worlds.  But then again, I was never quite clear whether the cities were in different worlds.  The citizens could physically see each other, they just weren't legally allowed to look at each other.

I just didn't buy the central conceit.  Bad things happened to people who broke the rules, but I never found out why it mattered.  Why were things set up like this, so that people of one city couldn't legally notice those of the other?  It was a crime brutally punished, so it must be important.  And yet the reader isn't told why.

And that failure to tell me why something so central to the story is necessary leaves a massive hole in the middle of its world.  And makes me totally unable to believe in that world.