As someone who has played 40+ courses in GB&I and enjoyed it enough to buy a vacation/semi-retirement home there, I cannot resist adding my 2 cents to this discussion.
1) The nature of "penal" - If you are talking about OB, red/yellow hazard stakes, forced carries over water, and general situations (that often times apear to be rather contrived) where one might lose a golf ball and/or be forced to take a penalty stroke, the vast majority of holes I have played on courses in GB&I are free of such obstacles. Generally speaking, if you can find your ball on a course in GB&I, you have a chance of getting it back in play. Obviously, there are pockets of gorse/hay where you may have an unplayable lie or lost ball and bunkers where you may have to play out sideways or backwards.
What makes golf in GB&I more compelling is that there is a certain element of randomness in the outcome of hitting a bad shot. If you hit a shot OB or into a lake in the US, there is no doubt or suspense about your situation. In GB&I, you don't know your predicament until you get to your ball and assess your options.
2) Romance - I don't think anyone is referring to romantic love here, but rather their romance of and with the game of golf. Obviously, the option of hitting a wider variety of shots and playing in different conditions is part of this. In the case of myself and my wife, we have also developed enough of a 'romance' with the Highlands (the people, the countryside and the golf) to buy a home there.
Finally, I must say that the initial attractions for me to golf in GB&I were the openess of most golf clubs there to visitor play and lack of pretension found at those clubs. I have been fortunate enough to play 25-30 of the best courses in GB&I (several of which are in the Open Rota) simply by showing up and asking to play. That could never happen here in the US. Most of those courses are blessedly free of the distractions (security gates, parking lot attendants, carts, cart paths, etc.) that at times seem to make the game in the US some sort of perverse social ritual.
End of rant!