The best thing about the game is that it forces you to experience the "West" from a non-Spaghetti Western perspective. The conditioning of consuming "Wild West" media from the vehicle of a semi-frantic film does no justice to the actual experience of the west for what it really was............A slow, vast, beautiful and dangerous world where the best parts of it exist in the quiet spaces between the spaced out occurences of conflict. If you're playing this and you're rushing main storyline stuff, it's because you're used to Spaghetti Western consumption and you likely think that's how the west was in it's outlaw days, but it wasn't.
So, my recommendation for anyone who wants something akin to what is a real roleplay of what someone like Arthur would have experienced, is to spread out the main quests significantly between long periods of side missions, random encounters, wildlife hunting, fishing, trading, etc.