Well locations are saved as pins on a map and you can go back at any time.
There are items to look at and in locales, not a ton of things to get or discuss - so doesn't seem like you would miss anything - but as with all games, it pays to scan an area closely and assume if you can go to a place, there must be something significant to find or look at there.
It must be fairly linear at least at the beginning as I have ben tripping along without feeling at all stuck or lacking a next step. I am just now getting hints at the larger plot, but still at the early discovery stage of the game.
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