Hashem relates to us as the Av Harachamim, an all merciful father. We are his children. However, He is also the Melech. He is our king. We cannot pick and choose which of His commandments to obey. It is futile to rationalize the purpose of the mitzvos. The king has commanded us to keep the mitzvos, and there is din vacheshbon for everyone. However stark this may seem, there is no need to despair or feel pressure. We must accept the reality and obey the Torah with joy.
As for connecting to Hashem through mitzvos, this is a very subtle connection felt exclusively by the soul. It is unlikely for most to feel this connection in this world with our physical bodies. The connection is definitely happening though, and the result will be manifest in the world to come.
See how the Ramchal explains this in derech Hashem for a full discussion. He says there that sometimes we may feel a much smaller effect of the connection that spills over from the actual connection happening. But it is just a much smaller he’arah from the greater one.