Exegol is supposed to be a new, unknown factor for both parties. If Kylo just waltzes up at the start of the movie it raises all sorts of new confusions.
A problem with that is that Kylo still gets there within almost the first minute of the movie either way, and Mustafar answers almost no questions at all for the audience. It tells us where Kylo’s wayfinder was before he found it, but it doesn’t tell us why he knew to look for it on Mustafar in the first place, or why he knew to look for it at all.
I think the briefest possible way to condense this is, as some other people have done before, have the title crawl refer to Kylo searching for “the source of his master’s power” or something to that effect. If we tie Exogol to Snoke implicitly, before Palpatine even gives the “I made Snoke” line, then we can infer that Kylo, as Snoke’s apprentice, had a means to reach the planet that the heroes do not, while still not being entirely certain of what awaits him there.
The fact a year has passed since TLJ, and that Kylo didn’t just go there immediately after Snoke’s death, also leaves a vague enough hint that this place isn’t easy to reach even if you know where it is.