The way it works is that your character has their own personal goals at each location, but each location also has a bunch of faction goals. So whenever you go to a new place you have 2 main objectives, conquer the location for your faction and pursue leads on your personal goals.

Keep both of those things in mind when you play, it can be very easy to get distracted and try to complete all the quests at every location. Don't be afraid to skip a bunch of side quests and just push ahead to the main objectives asap. Those main objectives are what make the game interesting. Doing all the side quests will burn you out on the game.