Yeah, the zone quests vs. the main quest are not explained very well. I started just after Elsweyr came out and was trying to play through the main quest at the same time I did the zone quest. I didn’t understand why some of the characters showed up in both with different, ah, statuses, shall we say?
Probably the easiest thing to do for continuity is to play through the quests for your faction. They will lead you to the next logical zone. With Morrowind / Vvardenfell, it’s a DLC so it’s a bit outside the main continuity lines. DLC’s can be done at any time, though with some recurring characters, it can be fun to do them after doing the main quests. You’ll sometimes get unique dialogue as the NPC’s acknowledge your previous adventures with them. Release order of the DLC’s is one option. However, the skills you get from the Thieves Guild and Dark Brotherhood quests can be really helpful, so it’s OK to take a detour and pick those up early on (and they don’t cross over with the main quest).