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You usually want to focus on one technology at a time, with exceptions. Reason is for example, if each technology takes two years, then spreading out means you get five advantages after 10 years, but focusing on one at a time gets you four advantages at 2/4/6/8 years, and the last advantage on year 10.
The biggest exception to this if you have an "ahead of time" penalty on one or more technologies. You almost always want to avoid researching technologies ahead of time. You will see the mentioned alert when working for level 4 before 1400, but a more prominent example would be the Muslims since they start with level 5, not 3, and as such the alert will be present until 1420. A smaller exception is if you expect in the near future to lose an extra cost modifier, or gain a discount modifier.
"is there any tech I should get ASAP"... depends alot on your starting date, and a bit on who you are and what your priorities are. Assuming 1399:
- Almost everyone likes Government 4 for the idea slot.
- Each level 4 grants a building.
- Europeans get a bit better unit type on Land 5.
- Every level in Land or Naval improves combat performance in that field.
- Government 6 opens the Embassy building.
- Each level 7 grants a new idea.
- Each level 8 grants another building.
- Government 9 opens another idea slot.
- Somewhere near Naval 9 you get access for blockades, pirates, and light ships.
More than that is better tailored for your specific situation.- KitCat.