Just started Shadowbringer but I have a small question (spoiler)

[Enkidoh]

(Though it's worth noting that from a story perspective, it seems to be written as if we can't teleport freely, and stay on the First throughout the game. The ability to return to the Source whenever we like is more of a gameplay convenience.)

Bold part, that is exactly my thought as well the way Exarch welcome and explains the situation. That was the impression I got, I am stuck here physically as well and due to the gameplay world. It feels like entirely a new game in the new world which is why we have mogstation story skip... Probably no relation to the source until later in the expansion... (maybe)... For now we get to go back to play other quests/classes/friends etc.

Thanks for the explanation to both of you.

That's not the feeling I got from the Exarch's explanation - he made a very real point of explaining the aetheryte that our 'aetheric link' to the Source is still there, faint, but enough to follow back to the Source via normal teleportation methods (and thus by reverse from the Source to the First in turn). This is also how the portal in the Ocular works and why we can use it to go back and forth at will while the Exarch and the Archons can't - the beacon in Syrcus Trench back on the Source is being looked after by a Son of Saint Coinach who is keeping vigil over it and functions as a sort of gate keeper accordingly.

After all, remember at the end of SB's story when Krile discovered that the Archons' aether trails suddenly ended abruptly, as they were literally severed by the Exarch's call spell, thus there is no way they can teleport back as there is no 'link' back to their bodies remaining, where as we still have a connection to the Source. So hence we can travel to and from the Source and the First at will while they cannot.

This is also how Feol Ul is able to handle our retainer tasks on the First, as he's following our aether trail between the Source and the First (presumedly the Mail Moogles on the First are doing the same thing).

It may seem like mere excuse plotting for what is mechanically gameplay elements, but the fact remains the story made a point of repeatedly mentioning exactly how we can travel between the Source and the First whenever and however often we like, so despite any evidence to suggest the contrary, I do not believe that we are story wise stuck in the First like the Archons are, and can travel freely between the two worlds at will.