Players are not the same: some people are keen to establish their own goals, but others need a lot of hand-holding. And some people may be different at different times: maybe they want a casual game with explicit goals for their commute, but then are willing to put in more thought and effort on a solid weekend session.
A game with self-set goals tends to have more gameplay in the long run, but be harder to get into in the first place (you need to understand a lot about how the game works before you can start to set appropriate goals) and have a smaller audience. It's also more work for the developer to make a world with enough possibilities and flexibility for players to be creative.
So it all comes down to, what kind of game are you trying to make? What kind of players are you trying to appeal to? And what's your budget?