Riku and some of his friends did briefly but I don't know whether they went far. The boats we have are small and we'd need several together to make a longer trip. Or one much larger one. As for why not, mm. Winters and the Keeper have both said we shouldn't, that it's too dangerous. No real reason except that in death, the lantern can't be recovered if it's in the lake. Doesn't seem any more risky than sailing normally is.

[So what if it's dark? He's crossed entire oceans overnight in nothing more than a single-sailed dinghy. Darkness and the unknown won't stop him. And he has the stars to navigate by - stars he's been studying for weeks now, that he has hourly photos of, in case something happens to his compass. Once he has something he trusts is able to voyage for more than a couple days, it will be hard to keep him off the lake.]