Both Skyrim and Fallout 4 had quests that would show a region but when you got there, the markers would disappear and you'd have to search on your own. Some of the Cappy quests in Nuka World were so frustrating that I had to look for videos.
Skyrim had quests that were started by picking up an object but with no location given. I had to look one of them up because having that item in my inventory was driving me crazy. I remember a quest where you could buy an item from a trader, though they had no idea where it was used, but you could also hear a rumor that showed you the location of the dungeon--you just had to put the two clues together yourself.
Both games also had many unmarked quests, where nothing shows up in your quest-log at all. You just stumble over them. I like those a lot, though I'm sure someone is going to tell me that Breath of the Wild invented them.
Games that mix the elements make the most sense. MOST quests should tell you where to go because, otherwise, it's kind of silly for quest-givers not to know the details of their problem.
