I actually forgot that I could leave Lonesome Road because it felt particularly silly to backtrack from there.
How so? In addition to not having a contrived excuse for not being able to come and go freely, it's also explicitly a closer location.
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ALSO, what's the deal with not being able to bring companions with us to the DLC locations? We didn't even get a proper contrived excuse for that rule.
Yeah, that "no companions" really bothered me as well. There's no reason why the Courier couldn't take one of his companions to the Divide, Sierra Madre or New Canan. The only one I sorta understand is the big MT with the whole "This satellite teleports you and only you there". But that concession leaves the gates open for similar contrived explanations for the other DLCs (hey, maybe that caravan company didn't want to contract more than one person, maybe Ulysses wanted the Courier to come alone and not bring the cops or this Republic gets it, and maybe Veronica just stood there and watched me get paralyzed by the radio and then nicked all my caps to go have a wild night out in Vegas and had a Hangover-tier adventure in trying to get the money back before I came back)
The reason why it felt silly to leave the Divide before the end is mostly due to the way the DLC is structured, you can see the developers intended the player to play through it in one go, what with the way the plot is fed to you.
I actually found Lonesome Road to be the most dissapointing DLC of them all. Sure, the plot is nice and worldbuildy, but the whole affair feels too much like a standard FPS, focusing way too much on combat and combat-related gimmicks (Hey, blow up these here nukes to blow up enemies and progress!). Also the tunnelers were far too overpowered for my tastes.
Dead Money could said to have similar faults, but I felt the whole thing had a much more Bioshock-y feel to it and I really liked the atmosphere. It was, for me at least, unplayable with "hardcore" mode turned on because my goddamn companions kept dying and then I'd die as well and god damn it that whole affair was annoying. Also the Ghost People were interesting fluff-wise but were kinda boring as enemies after the first three.
Y'know, now that I think about it, all the DLC had one thing in common, they all had stupidly overpowered enemies, the roboscorpions, the ghost people, the tunnelers, and a buncha tribals capable of taking out a person in full T-45d power armor.