I definitely leave you to discover where to go next, and the game doesn't really communicate a bigger goal. There is an order of locks and keys and I hope they're laid out in such a way that you find them at the right time. For me that really recalls the feeling of Metroid, where you're just dropped into a place and have to figure it out as you go, but it does make things rather obtuse. Would a map have helped, perhaps? Or some hint at the final goal?