Absolutly agree, if you don't know where you are going, how can you possibly move towards it. At the end of every milestone its super important to take a step back and ask, are you on the write track.

If nobody can clearly tell you the end goal, your project management process is not the problem.

I have seen project made three turns based on users feedback until it found niche. SCRUM has not denied our vision but made it possible to continuously roll out to tighten feedback loop. Something else wrong in your case. In SCRUM you should be able to voice your concerns, to work with Product Owner.

If Product Owner is not providing you with the bigger picture he is not doing his job. Product Owner should make sure the end result is crystal clear at all times.