Q:
is it better to explore, or to follow the story?
On your first character the story takes you, for the most part, through areas that you might wish to visit anyway. But, you don’t have to do it that way you can go where you want.
I think the gameplay works best if you play through the content slowly just exploring areas rather than trying to achieve anything special. Many of the players who are getting frustrated are those who play PvE in MMOs as a competition to get the best gear as fast as possible. They power levelled to level cap and then found that there isn’t really so much to do in PvE after that.