Horizon Zero Dawn, is what is called a RPG (Role Playing Game), Roles may be a set character as with this game, or one where you create your own character. when Character Choice isn't an option.

RPGs can take over 100 hours to do everything, but Main Quest, (Story), can be 25 hours +), stringing the Game play parts together, are movie sequences called "Cutscenes" these used to be videos, and much higher Visual quality than the actual Games graphics, but these days GPUs are getting powerful, good enough to match that quality in real time rendering.

In fact HZD is one of the very last games to use videos for cutscenes, but that just means you may et more player input where you get to choose what is said, which in a well made game (RARE) will change what happens afterwards.

Good news is HZD got a Sequel, Horizon: Forbidden West, so another Marathon Game Movie awaits.

Caveat:
Many of these Game movies only string cutscenes together, and can appear badly disjointed.
Sometimes what happens in the gameplay is just as important, and as with any movie how the footage is cut together, can make or break the story.

RPG Games, and modding them are what keep me sane, and often you get to choose your gender, though for being explicitly TG, only Cyberpunk 2077 I can think of, plus of course Elder Scrolls/Fallout games with mods, where even being Futanari (With, or without testes) is possible.