Done well, this can be absolutely amazing. The Players really feel like their characters are part of a bigger world and when they accomplish things in the world it's with an even bigger sense of accomplishment because it wasn't "made" for them, they had to carve their path. I've been in a group where the DMs world really came alive, it was awesome and gave me a lot of inspiration going forward.
But there is a danger - If the DM is too in love with the world and barely tolerated the players "messing" with it. I've seen this a few times. One was particularly bad. The DM had this clearly vibrant, detailed world with lots of things for characters to do - in theory. The problem was he clearly didn't ACTUALLY want the players (through their characters) making any changes or affecting anything. This was to the point where if the players where engaging in anything non-trivial, they literally couldn't solve it/conquer it (be it a BBEG fight or an exploration challenge). As in when we would engage something, we would just flail at it uselessly (combat or non-combat challenge) until one/some of his designated NPCs would come in and literally solve the situation for us (despite none of us actually wanting that). The DM was so attached to his world that he didn't want the players to be the ones actually affecting it!?! Extreme example, but it actually happened to me (lasted about 3 sessions before I realized that's just how thing will be then made my excuses as to why not coming anymore).
I've seen lesser extremes of the above, as well, the DM SHOULD have a love for his world, but they should also have a love for the PCs interacting with and messing it up!