I mean yeah, "find LanDi" obviously, since it's the main goal of the entire series, but beyond that?
In Shenmue 2, the main goal of the story was to find Zhu and ask him about the letter/his connection to Iwao.
Yesterday, I finished Shenmue2 again, and for the first time, I gave some serious thought to this question (because until now, I was taking it for granted that there would never be a Shenmue 3)
I think that one of the main goals of Shenmue 3 will be to find/rescue ShenHua's father. It seems to be the general consensus among fans, that LanDi arrived at the cave first (the absence of birds outside indicates that a helicopter may have landed there recently). I agree with this. However, this does raise the question: if LanDi kidnapped him, why did he leave a valuable sword just laying there? Also, when did the father find the time to write the letter?
Perhaps it was LanDi's plan to let ShenHua use the sword (since she is apparently the only one who can do so), and he is waiting in ambush just outside the cave?
By the way, this was the first time in over a decade that I was able to finish the 4th disc without feeling completely sad, depressed, and feeling like I was wasting my time. Truly a glorious feeling