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I am level 38 and doing the MSQ.
It seems I spend 95% of the time just running from location to location, usually thousands of miles apart, just to have to turn around and go all the way back, assuming I don't get sent on another leg of the quest, again another thousand miles away in a different direction.
Does it get any better later on, or is the entire MSQ questline like this?
It does. The story gets a lot better esp once you get done with the whole costa del sol primal shenanigans, which I believe is already past if you're at lvl 38. It has its ups and downs from there on out but yes, it does get better.
Yes, it does get better.
It will still be much running, but in the end: you have to do i only once! After that you can play every job and do everything else.
Take your time, dont skip cutscenes, read the conversations, at least a bit.
As others have said, it does get better. When stuff happens in ARR is usually good, but in between those moments there's a lot of filler.
"Oh, we're about to go do this very exciting thing...! But first we have to get A, B and C, process it at D and deliver it to E, but it was all for nothing, so we have to do it again and deliver it to F"
In Heavensward and Stormblood, the story is much more to the point and there's barely any of those useless quests.
Unfortunately, there are a few spots in ARR's main story (both the original ARR story and the patch scenarios) that are filler, designed to pad the EXP out and which usually amount to little more than "head here, head there and click on that". The infamous "goblin banquet hunt" for the Company of Heroes prior to facing Titan and the running around prior to facing Garuda and storming Castrum Centri are two particularly notorious parts of ARR's story that have a lot of legwork and filler.
However, that does it a great disservice as the story is very, very good and the action does pick up. Hang in there! You will get through it all eventually, as they needed to pad out the story so to make EXP gain across the scenario consistant, as the original intention was EXP gained through the main scenario was to be the main way of levelling in the game.
Luckily SE did learn from their mistake in that the main scenario for Heavensward and Stormblood especially cuts out a lot of that busywork, despite the occassional return to filler quests and EXP padding (*cough* the moogle quests in Moghome *cough cough*).
As the others have stated, certain stretches of the story involve a lot more travel and back tracking then others. And the story is more interesting and intense at some points then others. Theres a certain rhythm to the peaks and valleys of the story. The Company of Heroes is considered one of those valleys by many(ditto breaking the barrier of wind to a lesser extent). But there are peaks too. Some absolute highlights to look forward to that i hesitate to mention because i hate spoiling things.
Just to play devil's advocate here, it's debatable. Depends on how invested you get with the story and characters.
Boiled down, most of the quests will consist of exactly that. Go here and talk, go there and talk, go back to here and talk, go over there and talk. Often, you'll have to run around to talk to the same NPC you were just talking to, or they'll at least be standing around when you get there (why couldn't we have just magically teleported together and saved the trouble?). The quests themselves, outside of unlocking various trials and dungeons, offer little combat, trivial when it shows up. Naturally, most of us are likely inclined to otherwise ignore anything out in the open (why stop to fight trash if it doesn't progress anything?).
It really only gets less tedious in that there's less of it, more concise, but whether it's interesting or not is all up to you.
But really, any game could sound boring if you strip it of all the flavor like that. Personally, though, it does feel like you do have to put in a little extra effort to find what makes the game fun for you. As an MMO, it's gotta cover a lot of bases to appeal to everyone, so you can't just sit back and expect to be swept away.