You definitely want to play Flames of Vengeance. The rest of the city becomes available, and the entire game is all within Aleroth (which, to me was a little bit disappointing in a way - because I would have liked to get outside and spread my wings a little, but alas). Those locked cellar doors, btw, are present in Ego Draconis, but they are basically foreshadowing of things to come (e.g. you can open them in FoV and enter).
