I mean, I don't think there's a wrong way, but in some games you can lose out on content if you don't go a particular path. For example, Planescape: Torment has large chunks of story that you'll only get to experience if you focus on your wisdom, intelligence and charisma stats, basically forcing you to play a mage if you want to know everything. And then there's things like Undertale that can be played in various ways with only one leading you to a "true" ending, and yet's it's not the only way to play the game.