Is there a way in this game to know in which places you should go and do something? I went to a few caves and completed them, but not only I don't know in what area are there unexplored caves or stuff to do to complete the game, but there's also no way to find out where I've already been.
I play occasionally (play sessions may be spaced by a few weeks) so I don't remember in what areas I've already completed caves. While wandering in this game is somehow pleasant, it quickly becomes old when you always roam the same places desperately looking for what to do next.

Yes, but merely flying over some place uncovers it in the map. That doesn't tell if there's stuff left to do there or not. :(

Yes, this game works that way. But I remember that the game has achievements. At least on GOG Galaxy, don't remember if ingame, too. They tell you about what tasks left to do.