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Those basically unlock almost everything and will lead you to new areas and dungeons.
Doing all the sidequests isn't playing wrong per se, but they are mostly intended for leveling alt jobs.
Your goal as a new player is to reach heavensward without getting burned.
Personally I have decided to level 2 jobs at the same time, that should help with overleveling problem.
FFXIV is a theme park MMO alright, but it's not on rails. If you enjoy the side quests, don't worry about it. It's your prerogative. If you wanna take a break from side quests and move on with the story, that's also entirely up to you.
But speaking of ways to play the game, you should pay attention to rotations later on. At endgame, people can take an issue if you don't know your rotations, or if you're playing old endgame content for the first time without watching a tutorial first (yes, a lot of people in the party finder expect you to go in that type of content fully aware of how it plays even if it's your first time and although I don't fully agree with that attitude, I can't argue that they have a point).
Coming from WoW, it feels really odd to ignore most quests but thats mostly how it is now. Maybe the XP has been buffed a lot during few expansions, maybe not. But I can tell you that it evens out eventually if you start to only focus MSQ - there is weird cap at the end where you get quests at 44, 45, 46 then suddenly next ones are at 49 (probably meant to get you geared while going for last missions)
As others said, you might wanna leave sidequests for alt job you want to level later on.
Plus if you havent done dungeons you will miss lot of unlocks. You get retainer (bank+selling on player market) after you do 3 first dungeons thro MSQ. At lvl 20 story you get mount (grand company). Also at 30 you will get your chocobo fight/heal for you (you might have seen people with them out). Plus you get even more "bank"-space thro Chocobo saddlebag! You also get "company seals" from FATEs and Dungeon roulette which in turn gives you cool things, titles or just easy venture coins for your retainers adventures (200 seals per coin tho)
I suggest going thro MSQ so everything doesnt feel like easy-mode and then you get hit with "oh no these mobs MIGHT actually kill me" towards 50.
Every second you waste on early side quests is a second that you are delaying the real story for. And considering how long ARR is even when you skip side quests, it is extremely likely you will sooner get burned out and leave the game for good if you do side-quests.
I honestly can't think anyone would ever say ARR is well written, to begin with, and especially the 7th Astral Era, which is a massive test of patience. but if going through side quests is fun for some people, that's entirely up to them. That doesn't affect you in any way, unless they stop in the middle of some multiplayer content to go on and on and on about how much they love side quests.
So seriously, back off. A new player's goal is to play the game and have fun with it. They can decide whether they like it through the free trial, which is there exactly so that no one can complain that they bought into the game without knowing what they were getting into, and that now they can't refund. If OP is having fun, that's not a waste of their time. This isn't a job after all. And who knows if they even have Heavensward. I know it might be shocking to a lot of XIV fans, but not everyone has the money to get the base game and the bundled expansions all at once.
And for the record, what happened to the experience potions? If you're not having a good time with the base game, why don't you just skip it? You can always go back to it with the NG+ feature, so I fail to understand your reasoning here.
Again, up to each person what they do, how they go about the game. But it's worth commenting that leaving side quests to level up other classes isn't ideal. You can get to level 15 with a new class in just a few minutes by doing levequests, whereas with side quests alone you're looking at a lot more time. If anyone wants to do that, more power to them. But they should at least be aware that levequests are faster. Heck, that's their sole purpose in ARR.
BUT, the way you're doing it is 'slow' in terms of leveling and progression-wise. The main story quest is what you should want to be doing, not every sidequest like you would in WoW or whatever. You also want to be keeping up with your class quest whenever, too. These are the only 'must do' portions of the game as getting mounts, unlocking dungeons and raids can only be obtained through the story.
They don't really give you exp or gil, but some unlock new content. Those are marked with blue plus symbols. The rest exist for flavor and amusement mostly.
It simply depends on what your goals are. If you enjoy what you're doing, then you're doing it right.