dtgreene: I'm not familiar with this sort of strategy games, but coming from a RPG perspective, I can think of a good way to give the game this sort of atmosphere without making the start of the game for new players. (One assumption about the game: You get stronger by killing enemies Without loss of generality, I'll assume a conventional level/XP system, but this argument works for other similar systems.)
At the start, there would be an area around the starting town where the enemies are weak. As long as you stay in this area, the game is easy, and you can slowly accumulate XP and GP (or whatever the game uses) and get stronger. Somebody in the starting town, when talked to, would advise you to stay close to town at the start, so beginners would be steered in this direction. One catch: You would not be able to reach high levels in a reasonable amount of time here.
If you start travelllng further away from the starting town, the enemies get stronger. The game gets more difficult, and you may need to make strategic use of the abilities learned by leveling up. In this way, the difficulty increases, but so do the rewards, as these enemies give significantly more XP and GP than the ones around the starting town. A player who wanders too far too early will likely encounter an enemy they can't defeat, at which point the only options are to run away (and come back when stronger) or die. (Of course, perhaps a clever player might find a way to get past them alive and reach a new town, but that is likely risky and unreliable.) This way, re ramp up the difficulty once the player gets tired of the easy enemies and their poor XP and GP yields.
As the player gets stronger, they gradually get to explore more of the game world. This allows for the dangerous atmosphere of the game to be maintained while gibing the player a good chance to get started.
The original Dragon Quest takes this sort of approach, and I think it actually works well (though the game does slow down later when your level is in the teens).
Sure, if implemented correctly then this could work great, while perhaps adding even more to the atmosphere. But I think it's going to be quite the challenge to not mess it up, especially with an xp/leveling system. Sacred for instance
has a completely open world, with the starting area containing easier fights, and further out containing impossible higher level enemies. The idea is that the main questline gradually takes you through the world avoiding the impossible fights. But the problem is that if you explore a bit and try to beat a few of the more difficult monsters then you can easily raise your level to a point that the remainder of the main questline is simply trivially easy to complete.
Incidentally, Elder Scrolls Online also has an xp and level system in an open world, but it gets round this problem with enemy scaling done in a smarter way than in Oblivion. A skilled lvl 20 player has a reasonable chance of beating an average lvl 50 player for example. And monsters have no level at all, their health and damage instead scaled to your level similar to how a lvl 20 and lvl 50 player's stats are scaled to match when they fight. So the same mammoth strolling outside Eastmarch can kill you almost as easily when you are lvl 20 to when you are lvl 50, the difference being that a lvl 50 player will have more advanced abilities to easier kill the mammoth.
It's a great approach, and I'd love to see it refined further and implemented in an open world single player game.
Also, what you suggest is very similar to the approach of Sunless Sea (which I'd like to recommend
very highly). It's a massive world, with fascinating places and dangers to discover, but it quickly becomes clear that you have to be very well prepared if you want to venture out into the unknown. Staying close to the home port and running a few local errands you are relatively safe and can build up your supplies and skills to prepare for longer voyages.