What a great question. Because I have to admit, I don’t feel fully into a scene unless I’m gagged.
I’m sure reasons vary from person to person, but I think for me, it’s mainly about the moaning it creates. It’s not unlike the sounds one may make when enjoying sucking a cock, and that feeling of filling up your mouth. But much like chastity, you’re completely being denied the experience, and instead, you’re left begging for it.
It’s also the feeling of helplessness and loss of control. When gagged, you have the sensation of being completely at the mercy of your dom. If you don’t like something he does, there’s nothing you can do about it (safe words/gestures aside, which you should always have). You can’t easily say no, and you just have to take it. If you were only bound without being gagged, you can still say what’s on your mind and speak as equals if necessary. But gagged, you’re reduced to becoming a whimpering, living sex toy for the amusement of your master who owns you entirely.
For that matter, smelling or worshipping feet/socks/shoes holds a similar power over me, and for similar reasons. I just enjoy the smell, touch, and sensation of feet, and their expression of dominance. A scene isn’t really finished for me without it.