Hi,
Welcome to the Forum.
I visited Europe. (or I will visit Europe soon)
Is "Europe" the object or is it an adverb of location (since it answers the question "where" about visited)? It's the object.
How would I explain this to students?
Will they really give you a hard time if you just say it's the object of 'visit'? What rascals!
Ask them if they'd have the same concern about sentences like Columbus discovered America or Napoleon conquered Europe.
Compare I visited Europe to I went to Europe. Explain that you can't say I visited to Europe.
Best wishes, Clive