That's one of the things I always liked about FF games (and some other jrpgs). They start you off small, making a local area feel fleshed out and large, then later on you get access to faster long range transportation ("you get the airship") putting that small area in perspective. Sometimes things get mixed up a bit, like when you get "the airship", but can only go to one location first (due to plot, mechanical reasons, whatever) and then go open format, or else there's an intermediate stage (you get regional access through railway access, a car, horses, whatever).
It's a very old and very basic mechanic, but I think it works well. What's neat in modern times is that now there's the capacity to make the open world portion really wide open, as opposed to the older games where it can be like "You have a starship, but can only go to five planets in all the galaxy."