Quests are in-game tasks, some of them you must complete to pass game, these are called storyline quests and you don't have to complete some of them, these are sidequests.
In Dragon's Blade 2 these are mainly kill bosses and passing areas, while sidequests are collecting monster parts, infusing equipment and freeing dwarfs. Sidequests are not needed to pass game, but make it easier. Collecting monster parts gives you additional exp alowing to faster level up and become more powerful, infusing weapons allow to get better weapons and being more powerful when bearing them. Freeing dwarfs allow you to travel faster, because they will lead you quickly through dungeons. Completing quest if is not just one way to go forward makes it much easier.