Ok, so on my Pyromancer, I just completed Firecat Alley, and I returned to Ambrose for the next quest. He gave me two quests: (1) Go to Collossus Blvd, and (2) Defeat Lord Nightshade. Defeating Nightshade had better rewards, so I did that first. After beating him, Ambrose gave me the OK to go to Krokotopia! I haven't even started Collossus Blvd yet, has it always been optional?
Colossus is highly recommended for its experience. You'll gain another two levels by finishing everything in Colossus, as well as finding the last Smith for Zeke's quest; finding them all awards a training point.