Navigating out of wizard flow

I'm designing a 4-step wizard flow for a web application. My confusion is that while the user is in the wizard should the main application menu be accessible to him considering that the wizard has to be completed in one go?

Here are two options I can think of :

Option 1 - Main menu is visible & on click of any of the sections there would be a confirmation message and user can navigate out. But I'm not sure if it will be a good experience. enter image description here

Option 2 - Show the wizard in a full screen modal. Without closing it user cannot access any other part of the application. enter image description here

Please suggest which one of these would work well or if there is a better way of doing it.

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