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You are touching on a lot of intertwined issues at once - so there's likely not one single "right or wrong" approach.

A single encounter, adventure, or even campaign can be open or closed.

How do you manage and link them?

In ALIEN RPG terms you see 1-act cinematics, 3-act cinematics, and a whole campaign. Individually.
But if you look at Chariot of the Gods, Destroyer of Worlds, Heart of Darkness - you have a much larger campaign in standalone parts that still work together.
The same goes for the Colonial Marines campaign.

Each cinematic is a roughly "closed" space - with freedom within it to roam and encounter ... whatever... however you like within it.
And then on top of that you mix in optional and mandatory events that drive the larger plot around the characters across the acts of the cinematic.
And then on top of that you can mix in optional metaplot clues and revelations that drive an even larger plot around the characters and the cinematics.

Thinking of the cinematics like amusement or theme parks may also help inspire or organize - as the adventure writer - you are packing "a space" full of things to see and do ... all while the sun rises and sets.
What attractions does your theme park offer?

You can look at the map in the ALIEN RPG as a hexcrawl or sandbox.
And you can use as much or as little of it as you like.
In the end, you're still creating specific encounters and linking a few of them together into an adventure.

And finally, so what if they do leave without visiting every attraction?
Those unvisited ideas can be reused in other later adventures.
And if the players recognize some similarity or callback to the previous adventure - that just feeds into a metaplot and away you go.

If you look at the ALIEN series of movies - you will see those "cages" with "one-way doors" all through them.
That's how it is in survival horror - there's no going back from some actions.
The marines go into the atmosphere processor and torch the chestburster ... and the one-way door closes.
There's no "untorching" the little guy...
Meanwhile, what minute of the movie does that happen in?
How long had the marines been exploring the terraforming colony up to then?

Chances. Choices. Consequences. Costs.
You put chances in front of the players.
They make choices.
You explain the consequences.
The players pay the costs.

You set the table and create the situation - but the players choices drive the results.

Part of the contract between the guide and the adventurers is they agree to be locked in the Escape Room because solving the puzzle is the fun.
As the guide, you're there to help the players ... by first locking them in the Escape Room in the first place =)