When you're adventuring, you can go wherever you want... but not all locations are created equal.
Start by reading all of the locations. You might be able to discard a blessing to explore again, but if you're at the Cathedral. will you have a blessing to bury when you need to guard or close it?
If you defeat a location's only closing henchman and then you can't close the location, you'll have to deal with all of its cards before you can try again. It might be better just to leave it open and be ready to guard it when the villain appears.