This Player Agency demarcation often comes up in brinskmanship epics ("Gotta Save the World Again, or Else!") or mission-based play ("Alpha squad, this is what is expected of you by oh-seven-hundred hours,"). Naturally what your character does should face coherent results; 'actions have consequences'. But some players feel constrained by the premise's structure of expectations.
Yet here is the conceptual problem: Constraint is Not Absence. You still should have choice within said constraint.
The restriction of play time, space, degree, or goals does not prevent play choice within said arena. Just as a dungeons' walls, floors, and ceilings limits directions, or a social status' expectations and responsibilities limits access and freedom, so does progression- (mysteries, prophecies, one-way journeys) or mission-based play (expectations, orders, requests) limits sequentiality and goals. However within such space there should be meaningful choices (re: within-the-fiction risk) to enliven the accomplishment, to be different enough to incur different consequences.
If you don't have buy-in to the premise, that's something to be addressed before starting -- and readdressed during if there is balking after agreement ("don't wanna, here's the likely bad results elsewhere. still don't wanna?").
If you do have buy-in but the player feels too constrained, ask yourself if there is obvious interactables that could lead to differnt results? If yes, make them "more obvious" until the player gets it. Yes, some of us are much better at lateral thinking than others and we may feel we may 'lead our players on' instead of letting them play themselves. But have faith, players are very good at surprising GMs, and they will probably come up with an unanticipated solution.
i.e. A crime scene is a restricted time and space whose time details are often eroding, and whose space will eventually have to be "closed" (reopen to non-detective work). A detective is a status whose expectations and responsibilities grant special access and freedoms to this defined time and space. These are constraints. And yet, how would you describe player agency within it? Ask the player similarly, can they imagine player agency within it?
If they cannot and beeline to weird non sequiturs of "I go take a long vacation far away," or "I sip coffee just outside of the crime scene with my eyes closed and headphones on," that's a sign of not buying-in (or extreme lack of imagination). And that's the key: The Decisions Within the Constraint. Most people intuitively know how to find Player Agency for their Character's Agency within such a framework. The Character Agency can make good or bad decisions inside and out the constraint -- the Player Agency is asking "is there anything meaningful to choose while in here?"
e.g. A list of unavoidable, always lethally hostile, balanced CR Encounters is NOT giving Player Agency, even if the Character Agency (in combat manner or its continuation) seems to remain. Change those three preceding factors and suddenly you got a way more interesting game, even if it is in a dungeon.