Focusing MSQ is generally a good idea, as pretty much everything is gated behind it. Finishing MSQ (at least to the end of 4.0 SB) opens up the rest of the game to you.

But you can stop and do some other things along the way. When you get to level 60, primals for example. Or pvp. Stop by the gold saucer. Try other jobs or crafting. And so on.

Once you do get to 70, this might help you. 4.1 endgame progression for fresh 70s