An objective must always be present/ indicated on the screen so that the player is aware of his next course of action. Some games provide this indication at the top/bottom corners of the screen and some games provide it on the maps. If the objective is not indicated anywhere on the screen, it'll confuse the player and he might end up wandering the game world without being aware of his next objective.
Examples[]
Bioshock Infinite[]
In Bioshock Infinite, the player has no indication about his next objective, there is no map in the game. The only way the player can get to know his objective is by pressing a button which gets a directional arrow towards his next objective. The player needs to press this key everytime whenever he needs to go to a particular objective. This might frustrate a player as there is no clear indication of the objective on screen. This arrow is indicated in the above image
Dead Space Series[]
In the dead space series, Isaac Clarke (the main character) can put down a beam onto the ground to let him know where he is going on the often labyrinthine levels. It is very similar to the Bioshock Infinite example in that sometimes the developers could not find a clever way to get the player to know where to go, so a simple arrow does the trick.
Skyrim []
Skyrim being such a huge open world it can be a lot to handle especially since after the intro the game just throws you out there to do what ever you want. Having so my side mission i find my self often lost in the game with no clear goal insight.
Doom (2016)[]
While the 2016 Doom release impresses graphically, the design poorly communicates level objectives. The level design often contains small loops, and players not keen with the minimap can find themselves lost in circles. This problem compounds when these looping areas have little/no interaction or demons, and this happens often after passing through an area for the first time.
The HUD even includes a compass with a marker to display the next objective point, but the winding nature of some areas of the game make this marker less useful than it could be. This issue could be solved with clearer level design shape, distinct checkpoint-like visual cues, or even more frequent objective markers.