Yeah, the general advice is "don't railroad" and "let the players do what they want." I think that's true to a certain degree, but I think everyone has to be on the same page that it will be a sandbox and the players may just skip entire things you've prepared.
That said, I think it sounds like you and the players are not on the same page. My LotFP group has changed players over the years and I think it has become a group of players who enjoy LotFP modules. They really want to know all the stuff from the module b/c they know how interesting and messed up they are. They risk life and limb (and having to roll up new characters) to explore every part b/c they know there's crazy shit in there.
Your players are playing more traditional D&D and seem more interested in surviving and winning than exploring.
Here's what I can offer:
-Talk with them about it. Maybe negotiate some ways to increase their survivability (like give them some followers or retainers who can take on some of the risk). I ended up giving my players better healing and luck points that allowed rerolls so that they felt more secure to explore areas they knew were deadly. Basically, find out what it will take to convince them to want to explore the areas they are running from.
-Let them read through some of the adventures they've already played (like The God That Crawls) and let them know these are the sort of adventures you're running - there's cool, weird stuff in there and it's always interesting and different. I know after we played Better Than Any Man and I let my players read it, they got really into playing LotFP when they saw all the stuff they missed out on interacting with.
-Find out what kind of game the players want. Maybe they don't like the idea of going through modules or adventures and just want to sandbox, fighting monsters and leveling up (mostly, they probably just don't want to die). You might have to tell them you're not interested in that and want to run some adventures - so maybe a huge treasure and XP boost for completing an adventure, and you alternate a prepped adventure with some sandboxing and character development.
-Give a boost for dead characters. Allow them to transfer some XP, a boon, or some other thing. My players earn "Raggi Points" equal to the level of the dead character that can be used for some extra boons to their new character. You could also allow them to play more interesting or exotic races/classes only after death.