5th episode (0.5). We discovered Thanny was a dead man (still) walking in the 5th episode.
Also, a little directionless how? Going through with the gem hunt is pretty much the only thing they could do that would give some sort of progress to one of their goals which is to stop the Founder from doing whatever he's doing in Eternum.
As for other issues, well...they can't do jack shit with the Syndicate since they only pop whenever they feel like it, same with Wyatt who seems to only pop whenever there's a gem close by and he seems to always be a step too late when it comes to Orion unless the latter is not on the move. Caly is way too focused in getting back to her home and there's likely very little the team could do to help her on that other than just letting her do her thing (plus prior to the end of 0.8 Orion was under the impression that she was similar to the other NPCs that were under Ulysses' control and had false memories, hence why he's prolly just humoring her and letting her do her thing).
So yeah, other than gathering the gems, investigating incidents when they pop up like the rogue NPCs in Ekabar, training, and spending downtime with the girls there's little much Orion could do to move forward really.