There's often this paradox in film where in whenever a character watches something on a screen, it's to indicate that they're engaged in escapism. They're not doing it because the content is especially engaging, but because they're running away from something in their scenario, or even to use it as a time to ruminate on their thoughts (plenty plot changing ideas come to them during their screen time).

But at the same time they try to sell us, the viewers, that what we're watching is the most interesting story, not merely to escape into but to fully get immersed in.

Situating their universe, between ours and the one inside the film they watch, as the most riveting one.