Yeah! Glad to hear you loved it. That's rad. And I've found it holds up ok if you miss a couple of rules: the core resolution makes sure players have interesting choices.
Your question is a good one. Making sure there's always a risky action and a danger keeps situations dynamic: players will rarely get everything they want. That said, it can take practice for the GM to smoothy distinguish actions and dangers. If there are dangers around, but the players aren't taking risky actions, there's no need to make a roll. Keep that danger in your backpocket.
That said, often a danger makes an otherwise simple action risky. Crossing a room is easy, crossing a room with lava pits is not. The action is make it across, the danger is mark panicked. You could keep your cool but wind up stranded on a narrow ledge (someone will have to help you out). You could make it across but be panicked. Or maybe you're lucky and you get through with a cool head.
Your insinct to use Grim Favor rolls to resolve risks that aren't tied to the goblin's actions is spot on. If there's an escalating situation (like a cave-in) you can roll Grim Favor to see how bad it is. You can also just escalate problems at the end of the turn. You have a moment to think about that stuff while players are rolling back into Marching Order.
One thing to keep in mind is that these rolls are narrative beats, they punctuate a moment of uncertainty where events could take a turn for the worse. If the current situation isn't that interesting, that's fine. Say yes (the action succeeds) and keep following those goblins around until they get into some real trouble.
If you have specific examples of where you were unsure how to resolve, I'd love to hear them. Real world examples tend to be the most useful.