Felix... yes. He's been everywhere. There are like four landmasses big enough to show up on his world map that aren't somehow tied into the quest; mostly they're for the trading sequence or way-minor sidequests. And post-canon he's traveled even more.

Fluttershy would really prefer to just stay home. Sometimes she has to travel, though, either because of an Elements of Harmony thing or to help out a friend or five. And to be fair, she does enjoy seeing new places and things. Just... not as much as she enjoys being at home with her familiar animals.

Kain mostly doesn't leave Baron, except to represent the Dragoons in the occasional diplomatic envoy. That will change once I start him into canon, oh, yes.