For highly Invested people it'd be more difficult to leave their system but I think what makes it really difficult for Knights Radiant to go very far from their system is their spren bond and it is the spren who cannot leave the system easily. We do have WoBs confirming this and the fact is that the spren live in the Cognitive Realm, which is what Worldhoppers use to hop around, with an existential threat on the horizon, why haven't they left? They can't, they're too Connected.
Another thing that might be holding back the Knights Radiant is Stormlight: as a form of Investiture, it is very Rosharan, it is tightly Connected to the planet and a crucial part of its ecology. Maybe that Connection holds them back too. Compare this to Allomancy, they are fine to move around, the Investiture they use is still in the Spiritual Realm, the metal is just the key to access it. I think the same goes for Feruchemy, the metalminds themselves are Invested but what's stored there is actually still stored in the Spiritual Realm, I think.
As for the Heralds and Thaidakar / Kelsier, things are even more difficult for them maybe because of their nature as Cognitive Shadows, the Returned are also Cognitive Shadows but the Five Scholars are considered early Cosmere scholars, maybe they devised a way to get off-world, it's also possible that Endowment's nature allows them to travel more easily, kinda like how Breaths are transferable.