I'd use more or less subtle environment clues to tell the player where he needs to go whenever possible instead of forcing him via blocking volumes etc. If he wants to immerse himself, he'll follow the clues. If he doesn't go where his "quest" needs him to go, he's either roleplaying around (which is perfect for immersion) or not immersing himself at all and in both cases there's no need to force him to do anything.
Take Deus Ex: Human Revolution for example. When you have a mission to do in the city, there's always the possibility to just walk around and explore instead. Of course this is somewhat out of character for the protagonist but its still a lot more immersing than purely linear gameplay as the player can just make up his own reasons for why the protagonist is acting tht way. (
"He was JUST about to start the mission when suddenly he noticed a very suspicious looking dumpster and had to investigate that first!")
Besides, they solved the issue quite elegantly by having your boss yell at you over the phone after a while and telling you to get going with your mission already
So what you need to do imo is make the environment readable for the player without shoving too much text, notes or whatever into his face. For example, he leaves the bedroom (which has only one exit) and now looks into the corridor. One of the doors he sees leads to the bathroom. There are several ways you can make that door the most interesting one (just some ideas - you don't need to use them all):
1. Its easy to see when looking out of the bedroom door (>>not behind a corner or anything)
2. Its the only door thats opened a bit (not that the others are locked - just closed)
3. There's light coming out of it (maybe he forgot to switch the light off?) or it is the only door directly lit by moonlight coming from a window.
4. Theres something moving next to it (a curtain for example) - movement in an otherwise still environment always attracts attention.
5. Theres an obvious bathroom sign on the door (duh...)
6. The camera subtly moves towards the right door upon exiting the bedroom - but is free again after that moment!
I'd also advise you to try and analyse the level design of other good games while you play them. (doesn't need to be horror) In good games you'll often find that you somehow always know where you need to go - even without a questmarker or anything else that's not part of the game world. The best example I can think of right now is Journey, but you can find that sort of subtle player guidance in all good games.