Wife and I felt exactly like you, OP. A friend got us started about 3 months ago. We spent the first few weeks following our friend around and leveling quickly and soon realized we were far behind on the MSQ, so we spent week after week only working on the MSQ and felt like we were missing a huge chunk of the game, but at the same time, we wanted to catch up to our friend and play in Shadowbringer.

The best decision we made was boosting our characters to be current in Shadowbringer. We had a blast taking our time, running through all the content & unlocking everything in the expansion. And now it's more fun than ever to play our low level roles, taking our time, not feeling rushed, because we can always switch to our main role now to play with our friend.