Thats what I felt when I played Claxton. Its a bit TOO open for me. You really have to set your own goals and head for them because you can do ANYTHING. I think I was too set in the MMORPG mindset of make money, train skills, level up, work towards level cap and endgame.
In EVE there is no cap or endgame. If you want to be a pirate you go out and pirate, if you want to trade you make money, get better trading ships and equipment and build up monopolies and enterprises. You can be a mercenary, soldier, scientist, whatever you want, by training up whatever skills you want to use.
I got a frigate and did some courier missions and got bored because I wasnt sure what I wanted to do and I saw myself running courier for ages or mining.