The whole point of TLJ is, by the end of the movie, that hope has been reignited, that the First Order will be destroyed, Luke even inspires the galaxy with his return, having come to terms with his legacy.

If Palpatine had been set up in TLJ, it would take that way, that hope would all be meaningless since we would know that Palpatine is just going to come back and ruin everything.

In other words, his return is meant to come out of nowhere in TRoS.

Even then, his return was already set up in the opera scene in RotS, Anakin asks him as to whether it is possible to “learn this power” (referring to Plagueis wanting to keep himself alive), and Palpatine responds, “Not from a Jedi,” intentionally grinning at us, the audience.