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.
This is why my alternative solution is to show him traversing the nebula, making it clear he still needed to follow the Wayfinder to get there, he didn’t just know where it was the whole time.