Suppose I want to go from Palo Alto to SFO. I can take the Caltrain and get to Millbrae very quickly. Check. Then I can fantasize that someone would dig a very expensive tunnel from the Millbrae station to SFO and either run a train every 5-10 minutes to SFO or run one train to SFO for each Caltrain that stops at Millbrae.
Amazingly, my fantasy is half realized. That tunnel exists, is electrified, is well-maintained, and it's called the BART. For reasons that probably make sense in the minds of the mess of uncooperative local transit agencies, the train doesn't run before 9 pm on weekdays, and they steadfastly refuse to make the timing work well for Caltrain riders.
On weekdays before 9, I can still use the train, but there's an extra pointless transfer, and they still refuse to make the schedule workable.
So building the thing is only part of the battle. The transit agencies still need to make sure that the schedules and, in particular, time spent sitting around waiting for transfers, doesn't slow it down to the point of unusability.