Ah, as Daffy Duck said, "Puh-ronoun trouble."
OK, so I'm understanding it this way:
Saints Row, awesome game that it is, deserves credit for having buildings you can enter without loading screens.
Saints Row, under-appreciated underdog that it is, does not have free-roam multiplayer on its main, story-mission map.
The truth is that Ammunation, the Car Sales Lot, and at least one more plate-glass place, was like that in GTA III. Vice City also had a "drive-in" Ammunation but this was dropped in subsequent games, making Ammunation the same "load lite" mechanic which the mall, safehouses, clubs, etc. used.