these are not side quests as you could imagine in other games. azurite mine - called delve, rogue markers - heist. are two independent league mechanics from the past (added to core), and u dont have to ever run these. you could run some contracts if u got any, in heist mechanic, its pretty nice for early currency. but its pretty boring u just run the heist open some chests.
and delve i'd say is completely useless to you now. or tbf at any point, its not really profitable at low end. and u need some solid character to go far deep in here.
so yea you could try these just to see whats up, but there is zero need to. should focus mainly on completing maps, getting gear upgrades, levels.