Excellent question! I'm a literature teacher, so I love the genre of fiction. I read The Devil in the White City last summer and really enjoyed it, as well. Reading most non-fiction is a little different than reading most fiction., and so are the results.
First, you discover for characters who are real, not aggrandized or romanticized. That doesn't mean they're boring or lackluster, but the realities of life are generally less "glittery" than fictionalized characters. When they are, though, it's quite impactful to remind yourself they're real--and they could figuratively have been living down the street from you.
Second, you learn something you presumably didn't know before. That may or may not happen in works of fiction. This novel, in particular, is interesting because so much of the setting and plot --a world's fair--is unfamiliar to modern readers.
Third, there is something quite satisfying, to use your word, about making connections between real thngs you know and the new real things you discover through reading. In this book, for example, we learn how a very commonplace object--a ferris wheel--was created and perceived by the original riders. Making those connections is what makes history interesting, as well; and it's not something every novel can do.
The genre of historical fiction does manage to do both--put fictional characters in a more realistic historical setting. The problem with this is that sometimes it's hard to discern between fact and fiction. With non-fiction work, the lines are clearly drawn--it's all true and you know what you're getting. When I want to know about the Great Depression, I want my reading to be non-fiction. If I want to feel what it must have been like to live during that time, I prefer to read The Grapes of Wrath.
One other comment. We're living in a world where people are writing such hybrids as "fictionalized autobiography." Movies have done this for years--taken a true story and embellished and changed it until the lines of reality are blurred. These texts are satisfying only if you know that's what you're getting.
Hope that helps!