Yes, you may be able to run out of the Shroud or Thanalan, but you are LOCKED into the island La Noscea If you happened to start as a class there. You cannot take a boat, and you cannot take the airship. It tells you exactly WHY you can't, if you payed attention to the MSQ. Due to the hostilies of the Garlean empire travel was restricted, which is why you are granded the ability from the head of state dependant on your starting city.
You also may be able to learn those mounts pre-grand company but you can't use them. Because it is required by lore to have a license, which basically says you have been authorized and are knowledgeable to ride a chocobo (or other creature) in Eorzea.
As for retainers - Minfilia says and I quote "Naturally, your aid will not go unrewarded. We are fortunate enough to have a number of influential allies, and at word from me, they will gladly afford you certain privileges that might otherwise be denied you." "The right to employ retainers, for example. Are you familiar with them? They are individual's who may be relied upon to manage your assets and belongings on your behalf."
Tataru walks in, hands Minfilia papers, she signs them, and says "By way of a welcoming gift, I have taken the liberty of adding your name to the retainers' registry. As of now you are entitled to employ the services of a retainer."
You as a nobody, didn't have the clout to even have a retainer, let alone enough to talk to anyone about it.
I mentioned job crystals because it is a restriction of the MSQ. You are a nobody until you prove yourself time and again and those people who give you those said job crystals won't even consider you worthy to have them until you have made a name for yourself. Example, again from the Dark Knight story line: Your Darkside is basically your resentment at the people who ask you do dangerous stuff, with little to no reward or even a thank you, and by the point you've reached Ishgard in the MSQ you've got more than enough resentment built up.
As for Ishgard itself, again you must have not payed attention to the MSQ. Ishgard was pre-3.0 very xenophobic. NOBODY unless they were given permission or made a ward of a high house could even enter the city proper, even merchants.
So yes, all those limitations make perfect sense, even if you don't see it.