The threads/strands in the Pensieve is a person's memory
So, if a person has not seen a particular scene, then the one who is going through(or using) the pensieve also cannot.
Could you just walk through the door, or you have to 'rewatch' that
memory again, and make sure to follow properly next time?
No, one cannot. One haven't watched something means that they can't watch it even after trying for any number of times.
The above was from my perception from reading the book and the movies.
Seems like you can indeed move about (but in a very limited way)
According to Pottermore,
The perceived dangers of the Pensieve relate to its power over memory
or thought. The Pensieve is enchanted to recreate memories so that
they become re-liveable, taking every detail stored in the
subconscious and recreating it faithfully, so that either the owner,
or (and herein lies the danger) a second party, is able to enter the
memories and move around within them. Inevitably, those with things to
hide, those ashamed of their pasts, those eager to keep hold of their
secrets, or protective of their privacy, will be wary of an object
like the Pensieve.
So, one can move around in the memory and hear whatever they can which owner of the memory haven't heard or paid attention to, provided they stay in the vicinity of the memory (or roughly the radius of the memory)