Funny you should mention this, I just finished Trails from Zero, which tries to avoid this.

Basically, if you pass a certain point in the story, you are locked out from the open world due to story reasons, only being able to travel to places mandated by the story. However, before you pass this point, the main character comments something along the lines of "We should get everything in order before we proceed".

And if that wasn't enough, just before you enter the area that's past the point of no return, the game straight up tells you "OPENING THIS DOOR WILL ADVANCE THE STORY PAST THE POINT OF NO RETURN". Immersion breaking, sure, but I appreciated it none the less.