By His Divine Grace A. C. Bhaktivedanta Swami Prabhupada
Vidura was undoubtedly a highly elevated and pious soul, otherwise he would not have taken his birth in the Kaurava family. To have high parentage, to possess wealth, to be highly learned and to have great personal beauty are all due to past pious acts. But such pious possessions are not sufficient for obtaining the grace of the Lord and being engaged in His transcendental loving service.
Vidura considered himself less pious, and therefore he decided to travel to all the great places of pilgrimage in the world in order to achieve greater piety and advance nearer to the Lord. At that time, Lord Krishna was personally present in the world, and Vidura could have at once approached Him directly, but he did not do so because he was not sufficiently freed from sin.
One cannot be one hundred percent devoted to the Lord unless and until he is completely free from all effects of sin. Vidura was conscious that by the association of the diplomatic Dhritarashtra and Duryodhana he had lost his piety and was therefore not fit to associate at once with the Lord.
In Bhagavad-gītā (BG 7.28) this is confirmed in the following verse:
yeṣāṁ tv anta-gataṁ pāpaṁ
bhajante māṁ dṛḍha-vratāḥ
Persons who are sinful asuras like Kaṁsa and Jarāsandha cannot think of Lord Krishna as the Supreme Personality of Godhead, the Absolute Truth. […]
Places of pilgrimages are meant for eradicating the sins of the pilgrims, and they are distributed all over the universe just to give facility to all concerned for attaining pure existence and God realization. One should not be satisfied, however, merely by visiting the places of pilgrimage and performing one’s prescribed duties; he should be eager to meet the great souls who are already there, engaged in the service of the Lord. In each and every place of pilgrimage, the Lord is present in His various transcendental forms.
(Excerpts from the Bhaktivedanta Purport to SB 3.1.17)