Jürgen Hubert said:
The ultimate goal of role-playing is fun.
Amen!
I still wonder how many people seem to have trouble accepting that little tidbit, or accepting that different people have fun differently (Fortunately not on these boards.) Some are almost fanatically insisting that their way to roleplay is THE right or proper way.
Back on topic: If the players have started to drive the story, then by all means go with it - as long as you have fun doing it. IMC, I always strive to get the PCs "settled in" somewhere - i.e. integrated in a community, so that they have bonds to the NPCs. It gives the PC not only a base of operations, but also a source of plot hooks and options. A big part of my campaigns does not center on the adventure of the day, but on the goals, schemes and sidetrecks of the PCs and NCPs.
IMHO, the trick is to not gloss over the "building aspects", but to use them for adventures. Perhaps the PCs need an expert weaponsmith for their keep, and if they do not want to settle for a commoner with a sledgehammer, then they have to persuade the best weaponsmith in the vicinity to join their community. And even if they manage that - perhaps by helping him construct the "ultimate sword" for his liege so that he may leave his service, he might get captured by a rival on his way to the PCs, triggering another adventure.
Digging for a well might unearth a tunnel to the underdark, or a hidden treasure, or a corpse with regal trappings. The PCs might be expected to give grand receptions for their neighbours, ending up in a fierce "entertainment competition". And while all this is going on the PCs might still get called to defeat a roaming monster - only this time it is their land that gets devastated by the beast - or serve the king, or defend themselves against a plot by a jealous noble.
And then are the "joys of command" - how to settle conflicts between servants, to take responsability for the unfortunate incident involving a messenger to the king and a supsicious guard patrol of the PC's keep etc.
IME, getting settled in makes the PC's life more adventurous than just roaming the countryside, looking for trouble, and ready to leave for the next country if said trouble gets too big.