I'm also curious about this. Is "vesten" only used (with capitalization) to describe the geopolitical concept of 'the West'? Or can it also be used like, "Jeg reiser til vesten," without being capitalized, as an alternative to the example given?
'Jeg reiser til Vesten' would as you mention imply the West. "Jeg reiser til østen" is on the other hand somehow normal to say and implies China and southeast Asia. If you want express where in Norway you are headed we roughly devide the country into South,vest, east and north. And we say Sørlandet , Vestlandet, Østlandet, nordnorge. Southernmost part, vesten part and so on. So if you want to use a cardinal direction to a unspesific large part of the country, that's how.
*Sørlandet, Vestlandet, Trøndelag, Østlandet, Nord-Norge
"Sør-Norge" is used to cover a larger area, comprising all of the above except for "Nord-Norge".
"Midtnorge" is not a well defined term, but usually covers "Trøndelag" as well as parts of "Vestlandet". Sometimes the bordering areas of "Nord-Norge" is included as well.