That story more or less completes itself until Chapter 3, you'll find word he gets "moved" once or twice in Chapter 2 and eventually you'll catch up to him in Chapter 3. Basically, if you had went to the burning building you'd have learned the Duke was taken to X and when you went there you find out he's been taken to X and so on.
But you never meet the Duke until then, and the revelation is more or less Wyll is the son of the Duke of Baldur's Gate, what you did wasn't really a sequence break more so than it was Wyll exploring his back story. Even if you had gone to the building you'd have no context/not have met the Duke yet. You don't actually see/meet him until Act 3... if you're lucky, and I won't explain that spoiler