As a proud owner of the Avernum 2 demo, I can tell you that you cannot explore all the lands of the Vahnatai. You can only explore a limited area here consisting of three "zones". They are:
1. The zone* which includes Avit, the "City of Peace",
2. the zone* to the west of Avit, and
3. the zone* to the east of Avit.
You can explore all the towns and dungeons within these three zones. The shareware demon confronts you when you walk a little south of Avit, but you can explore these three zones just fine.
*By zone I mean all of the area that can be displayed on the mini map at a given time.