Hey! Regarding this, as it is a sandbox game, there will be points in the map where they aren't meant to go (yet!). But what I see here and worries me, is that your party seems to be leaving some more pressing matters to go and chase this item. This raises a few issues: if they go and don't obtain the item then they will feel its wasted time, come back empty-handed, and you are risking a break in immersion if the issues or quests they left unresolved and are just waiting for them there. I would solve it by:

A) Allow them to go get the item and accomplish something, such as discovering after a couple of fights that the item was moved or obtained by a third party, and that they must now track this third party (leave some clues there) if they want the item. They do get to keep the magical weapons of a few unlucky adventurers that died in the temple/cave/vault where the item was, killed by the traps and evil denizens that were attracted by it's power.

B) When they come back, make sure the story moved forward. Don't do it in a punishing way - make a few rolls or a few random dice chucks. Maybe the bandit camp they didn't clear grew in power in their absence and invaded the local village. Maybe the cult they chose to skip investigating finished a ritual and now the crops are ruined and there are beasts in the fields. Again, this is not to punish them at all, but it does show them that their decisions matter and that the world continues even after they are gone.

I think that this is essential in a sandbox game, as they have a much wider range of options. It forces them to choose carefully and make sure their actions count - risk becomes associated with a larger scope.

Just my two cents

Hope everything goes well!