Rogue is a very divisive Assassin's Creed game. It's technically a standalone expansion or direct spinoff of Black Flag, which isn't a bad thing in my opinion. This means that a lot more focus is on the story. But even then, the story is too short and underdeveloped for its own good.
Trust me, I love this game's story and protagonist. But I can't help but feel like there's a lot to be desired. Assassin's Creed stories have always had a somewhat memorable cast of characters with some sort of depth to them. Whether through dialogue or just overall character. Rogue's supporting cast is weak, both assassin's and especially Templars. The cast isn't that memorable and don't really leave that much of a lasting impression.
The character dialogue only goes so far, but their overall development is minimal. Some narrative moments also don't feel fully fleshed out or told in the best way. The modern day storyline should've completely been scrapped from this game in order for Shay's story to actually be fleshed out, because Rogue's modern day really doesn't do anything for the game's story or the series as a whole - except connect it to Liberation.
But what's great about Rogue's story? The protagonist, the connections to Black Flag, Liberation & Assassin's Creed III, the setpieces and a few certain character/story moments. The only way to truly like the story of Rogue is by coming up with your own interpretations of the story. Coming up with your own excuses to a story that is otherwise half-baked. I like Rogue's story for that. It leaves just enough room for interpretation which is just what an unfinished game like Rogue needs.