Your intuition is completely spot on. If you attempt to bake a standard supermarket roll of puff pastry whole without unrolling it, the result will be very disappointing and largely inedible.
Puff pastry relies on the lamination process to rise and cook properly. It consists of alternating micro-thin layers of dough and fat (usually butter or shortening). When heated quickly at high temperatures, the moisture in the dough turns to steam, which expands and pushes the dough layers apart before evaporating, while the fat melts and gently fries the surrounding dough into crisp, flaky sheets.
When the pastry remains wound tightly in a thick log, two major problems occur. First, the exterior layers will take on all the direct heat, rapidly browning and eventually burning long before heat can penetrate to the center. Second, the moisture in the tightly compressed inner layers has nowhere to escape. Instead of venting steam and puffing up, the fat simply melts into the unbaked flour and traps the moisture.
By the time you pull it from the oven, you will have a charred, brittle shell on the outside and a heavy, gray, greasy plug of raw dough in the center. To bake rolled pastries successfully, they always need to be unrolled, shaped with adequate air flow or fillings, or sliced into thin pinwheels so heat can reach the interior evenly.
