The main story leads you toward the realms at war chapter but don't worry about missing anything important along the way. You can freely return to any area after beating the story, and some of the best content is actually designed for post-game exploration, like those tricky valkyrie rematches. Something interesting to remember is that your companions will often nudge you to take breaks from the main quest, which is a good indicator that you should explore a bit.

The only things you really need to watch for are crafting materials in story areas that might collapse, but that's pretty minor in the big picture. Once the credits roll, you'll get full access to everything again and can tackle those favors and optional challenges at your own pace. The game actually gives you better tools and abilities through the story that make finishing up side content more enjoyable later on, so feel free to focus on the main missions if that's your style.