Yeah but ghosts… don’t necessarily act like human beings who take the world seriously. They are perhaps more like divine figures who intervene according to something else.
The Force doesn’t necessarily think and act the way humans do, and in death the distinction between the part of the Force that is the individual and the Force in its totality is lost.
You can sort of fill the Wayfinder plot hole if Vader just simply didn’t know about Exegol, or at least where it was. That makes Vader even more of an unequal partner to Palpatine, though, and that’s something I’m not a fan of.