The dangerous part of my new found freedom in Dragon Quest IX is my getting stuck.
Once you have the ship, you can go after a few different fyggs. There's one in the deserts of Gleeba, and another at Swinedimples Academy. No doubt there are a few others I could go for now, too, but these are the two I've stumbled across. Since some places seem accessible only by air, I'm thinking that your ship will get an upgrade at some point.
But back to the dangers of the freedom to choose your path in a J-RPG.
Another game that offered you freedom in your choice of path was Tales of Symphonia.
Relatively early on in the game it was possible to travel to a place by sea or by land. Doing so by land gave you all sorts of extra experience and forced you to grind to survive. The sea route was direct and easy, so that by the time you got where you were going, the game's challenge wasn't broken. Again, there was another point in the same game where you could wind up trapped in a dungeon until beating the boss if you did a set of dungeons out of proper sequence.
Both instances of freedom in Tales of Symphonia had varied outcomes, yet choice was still paired up with consequence.
So far, in Dragon Quest IX, I've made my choice (who could refuse playing detective at Swinedimples Academy?), but have yet to see the consequence.
Some grinding's been necessary, but so far the game hasn't blocked me in any way - either substantially (with something like an event that doesn't trigger because I need to get another fygg first) or experientially (with some insurmountable enemy that requires serious grinding, re-equipping, or other player-directed power up). We'll see what happens, though.