Hey! Good you brought some questions. So, about The Thieves' Cave, as you can read on the second paragraph of the Quests section in the booklet, if the locations on the route aren't connected by a dashed line, you don't need to follow an order, you just need to pass trough each location, in any order, before going to the final location with a green check. Different from Mining at Kabad Mountains, where you need to visit locations on the indicated order, 'cause the route is connected by a dashed line.
And no, you don't go immediately to #7, if that was possible, the game doesn't happen, you need to choose possible paths and will pass through other locations before reaching your goal, in case of The Thieves Cave, after solving the challenge in location 1, your only option is going to location 2, after that you have 2 possible paths to another location, and then you keep going and stopping at each location facing the challenges, until you fulfill your quest. And sure you can go to another location before 7 and can divert by going to 6 before, and even fulfill your side quest before, there's a note on page 5 about this. Also, even if you have a route with dashed line, like Mining in Kabad Mountain, you can visit another locations while you keep tracking your main route, that's a point of strategy in the game. Hope you can understand better now and have fun!