Talos is simply letting you know what is looming over the horizon so that you all may prepare and act accordingly. The wards around the key pieces prevent scrying or any magical way of locating them, so you have no real point of beginning for a search.  I see this playing out as more of an adventure where you regularly return to home base, which is beneficial since building up the town takes a good amount of time. Plus, for you all to stand any real chance of whethering what is looming over the horizon, you need to make allies and trade agreements with neighboring towns as well as venture around to find specialist crafters and laborers. So you're going to be venturing around anyways, where's the harm in keeping an ear out for rumors and the like? :P