Hello,
Thanks for your question! The game is set out to consist of relatively short 'runs', in which you play as a given character completing these 'objectives'. They are simply there to give some guidance and to to steer you towards completing a run with a given character. That said, there is no reason as to why you cannot simply play the mission(s) you want at any given time! Just note that the cost of Fuel will consistently rise the longer a run continues, meaning that it will likely become harder as time goes on.
Hope this helps! :)
