I’ve played through a few times. Before you leave Act I, there is an explicit warning that doing so will close out story-based quests that are incomplete. Having said that, it only closes out the main story quests for the most part; I’ve gone back to do side quests frequently. Act I doesn’t truly lock until you’ve unlocked the end of Act II.

That seems consistent with actual tabletop D&D; ignoring a time sensitive quest may net negative results.