In the case of The Wire, that's just its strength. For example, the reason the last scene between Avon and Stringer is so powerful, is mostly because you feel like the series has been building towards this point for the last 35 hours , making all the emotions stronger as you know where these guys come from and how it got so far.
Yeah, it gives far more weight to the climaxes, twists, revelations, etc because there are less of them and viewers have invested much more into the show to get to that point.
Compare it with something like Prison Break, which was full of instant gratification, and what a joke it quickly became.
What? 13 one-hour episodes through five or six seasons is supposed to be compressed footage?
And yes, I don't see these sort of shows as being that praiseworthy.
And no, not all drama series are like that.
When compared with 20+ episode seasons, they are far tighter.