What is the purpose of the three continents?

[Dubont]

I've played for a bit, and I'm confused as to the real purposes of the three continents?

If I started in Giradan and wanted to level in Ul'dah, would I still get the overall quests or am I committed to Giradan?

Do I also walk to each continent or can I teleport? When I try to teleport it gives me an error message prevent me to do so

to teleport, you have to have actually visited the city. You can't just teleport from Grid to Uldah without having been in Uldah first.