What are the chances of adventure locations being close together in a role playing game? Pretty good. It's even neater when there's an actual connection between those locations in the story, which there happens to be.
I don't understand the logic of saying it's neat that the locations are so close together because they are linked in the story? It's daft that everything is so condensed. Separate maps would have at least conveyed a sense of distance and scale. Again, that hyperbolic buzzword 'immersion'.
In many respects it's the small details that help to make a game world believable and grounded, especially when the setting is full of magic and monsters.