Depends on the player. I was level 11 when I got to that part. Some people like finishing all quests in an area before moving on, some like to explore as many new areas as possible. Variety is the spice of life, etc.
I do not like the auto locking doors either. I usually have 3 saves spaced about 10 minutes apart in addition to the quicksave so if something does go wrong I don't lose much time.
