The primary goal of visiting other shards, with Azem's Key, should primarily be to rejoin the warrior of light with the remaining fragments of themself, thereby fully rejoining Azem and in the process reach the power of an ancient. As that is also a dangling plot thread that was introduced to us as far back as shadowbringers. The previous reason we couldn't just go do it is because of the lack of personal means to travel elsewhere with the exception of what G'raha did with the crystal tower.

As for Meracydia, also yes we should visit there. As its currently setup to be a unique environment with unique races that live there unlike elsewhere in the world.