So, you've yet to do the Paladins of Tyr, both hyena encounters, harpies, owlbear, skellies in the dungeon, spider, goblins on the outpost just outside the temple, goblins outside the temple, Auntie ethel, and the woads. Not to mention all the goblins in the Blighted Village. Those net some XP as well. That's for the coast. All of that should get you 5th level, maybe even a quarter of the way into level 6.
As others have mentioned, the Risen Road and the Underdark are both still Act I. Act II is the shadowlands, and everything therein.
Depending on your builds, especially if you have a wizard in your party, I would check the traders who are still alive. Their inventory restocks every long rest, and they get new items every couple level ups. I just reached level 5 and I've found some of the lower level armors at a +2 variant. You might also find some spells and useful potions.
If you're on Honor, I'd suggest doing Underdark first and Risen Road second.
Not all of it though. I remember Blue from Overly Sarcastic Productions going on a tangent about how he went over to florence (or venice) and looking for a place that didn't exist. Ubi had made it up completely.