I'm not sure what you mean. It's not as if the players can oblige the GM to say stuff the GM doesn't want to say.PCs can do whatever it was reasonable that their characters could do. They don't have to wait for the GM to present them with a list of options like some computer game.
So if the GM is ready to run Masks of Nyarlathotep, and the players tell the GM that their PCs get off the train in Chicago so they can try their hand instead at trading in bootleg booze, what happens? The fact that, in principle, the players have infinite choice won't tell us anything about what is going to happen at this table.
But again, what actually happens at the table when the players declare actions for their PCs that aren't about doing stuff the GM is presenting to them from the module? New fiction won't magically write itself. Does the GM go along with the players? Or does the game grind to a halt? We can't answer that question a priori. And so we can't assert, a priori, that the players have the option not to have their PCs do Mask-y stuff.And in Masks, choosing to do nothing and not follow up the next clue is a perfectly reasonable option. Unlike many of those 2nd edition Ravenloft adventures, with their doomclocks forcing the PCs to keep going down the rails. Whist Masks technically does have a doomclock, the PCs are not aware of it until near the end, so they are not forced to do anything.