Shining Force 2 was still heavily mission-based, even though there was some exploration -- same thing with Fallout Tactics and Final Fantasy Tactics. By free-roaming I mean games that make no distinction between the normal play and the objects, i.e. games that don't have "levels" or "stages" in the normal sense, but instead just a plain world. As I mentioned, Spiderweb Software's Avernum/Exile/Geneforge is a good example of that. Another example are the Ultima games: it has turn-based top-down combat between large groups, but is more of an RPG than a tactical RPG, even though positioning is important in combat. Most tactical RPGs are mission-based though.
My favorite ones tend to be mission-based: Vanguard Bandits, the Vandal Hearts series, and the Front Mission series. Jagged Alliance 2 is also very good. Kartia too, since it has a really nice story and is a game of this type, even though its gameplay isn't very balanced. I tend to like the ones with expendable units less -- Fire Emblem, Warsong, etc. -- I always feel as if losing a character is a disaster and want to save and load to get them back, even though it's nearly impossible to get through those games without losing a character. I prefer when, if a character dies in a mission, you don't lose them permanently, since I get too attached to them.
That's pretty much why I stay with multiplayer games for now...
Either way, to be honest: the only multiplayer turn based game that features an open world I know is Dofus (and Wakfu). The MMORPG. I could add it to the list but:
- while it used to be classified as an indie game when it started (got reviewed in a lot of indie blogs, like gametunnel), it now belongs in the top 10 of the most revenu generating MMORPGs out there and perhaps is too "mainstream" for this list.
- you only control one character. While the PvP is mostly team vs team, you control only your person, not the team. Unless you play a summoner. So it doesn't fit in that criteria very well.
Of course, I'm not saying that games in this category don't exist, but I don't know any.