I went last week and generally enjoyed it. It feels similar to the one I went to in London last year, though I think they might've added more elements/side storylines. My friends and I stuck together as a group, but I kind of wish we went separate ways so we could compare notes afterwards about what we each did. I thought the actors for Gatsby and Nick Carraway were excellent, with some fantastic dancers all across the board (the dance numbers were some of my favorite moments). They have some really smart staging moments, with how they transition from the party happening in the pre-show to Nick Carraway's narration, as well as the swirling arguments between multiple sets of characters in act 2, and the set seems quite well done throughout.
I think individual experience will really depend on which storylines you get pulled into as well as your personal preference of how much you enjoy interactive elements vs just want a well-told story. We were pulled into Gatsby's office where we were also propositioned by Meyer Wolfsheim to join his scheme, but there was some direct interaction with Gatsby beforehand where he asked some questions of the audience (the actor was great at staying in character for the time period and working with the answers he got). I was also impressed at how characters could convey the same "gossip" multiple times in different ways, to try to get different audience members on the same page even if they've been in different rooms and didn't hear an earlier iteration of it. I had only been familiar with the story through the London version of this show so I was able to follow along well enough, but if someone was completely new to it, they might've had a bit of trouble.
If you like Great Gatsby but have no interest in the immersive element of the show, I'd say you could probably skip this iteration and wait for one of the two musials currently in the pipeline. The main selling point of this is really the environmental form of it. Otherwise, I wouldn't say they're doing anything particularly interesting or groundbreaking, and the overall storytelling takes a bit of a toll from it (don't expect to find any of the actual themes from the novel unless you're planning on digging for them yourself). It's really just an excuse to feel like you're partying in the 1920s and give some shape to the kinds of characters that could possibly have been around back then.
Also, since I had asked about this earlier, there's no open-world exploration in this. You're kind of just expected to hang out wherever you are until a cast member invites you to join them in a separate room or something (though I did really like the design of the main ballroom, and I think the separate rooms were also done up nicely). Like others have mentioned, there's not much opportunity for seating so you either have to be really proactive about snagging a seat in whichever room you're in or just be prepared to stand for 2.5 hours. The bar is open before the show, at intermission, and after the show, and you can walk around with drink in hand while the show is happening (cocktails are $21). There's also a self-service water station, which we definitely appreciated because it was HOT outside.