Well what i would like to see....
You can play in adventure mode as normal, being able to go anywheres, mine, hunt, fish, build ect.
But if you want to start up a settlement as a Adventure, if you have enough money, you could just buy a wagon or two, supplys, and hire / recruit soliders and workers.
Hiring soliders will cost money, and the workers would of course want you to provide them with food and drink for the journey.
That would be the first option, going out on your own after you make enough money on your own.
Your second option being going to the king or someone in high power in your home town, and asking if you can start up a settlement.
You will of course have to do quests and stuff and prove you competent before the king / nobles allow you to start up a car van to make a new settlement.
This would be the other way, which the king / nobles will pay for the wagons, gives you money supplies and as well as the soldiers and workers you would need.
Then you would embark, but this way would mean once your settlement gets running, you will not own the settlement, the mountain home nobles / king would own it. Your just the "General Manager".
The other way of course, paying for the wagons / recruits and such your self would mean you owned the settlement. Meaning no kings would come or nobles, you would be able to elect you own nobles and such.
Well there's a lot more ideas i have, but that's pretty much the basic outline of what i would like to see happen.