Let me tell you how Adventure mode starts. You crash onto a tiny planet. You do a few fetch quests that teach you how to use one of your tools that allows you to discover and place items onto the woth world, and collect gold bricks that help you progress through the main unlocks, like bigger worlds and tools.
Once you've got enough gold bricks to fix your ship, you travel to the planet. Learn how to use the next tool, do quests based around that tool, get gold bricks, discover new content, move on to the next planet. Do this 1 or 2 more times and the game opens up and lets you procedurly generate smaller planets to get gold bricks, new items, weapons, structures, etc.
All the while, you are building up your catalog and unlocking new tools.
The Adventure mode is likely endless. The main difference I've seen from the Adventure Mode and Sandbox mode is that the sandbox mode has everything unlocked, but doesn't have the quests and galaxy traveling like the adventure mode.
All the while, you can spend time building stuff using the lego's you've unlocked.
Tip: Once you have the Copy/Paste tool, copy some cool stuff you find in the worlds you visit.
You can't delete the first three world. I tried.
I'm a couple of says in now and the quests are typically the same on each World, like a take a picture of this, paint that, build this, etc. It's up to you how deep you ant to go. If you are playing this game like a checklist open world game, I'd hate to say it, but you are playing it wrong. While collecting is important, is the discovery and exploration that are the games main goals. Also, I found my first dungeon. Was pretty cool. I'll post a few screen shots later. Full of Fire and spike traps, skeletons, Trolls and lava.