Where to go first after Sacrament?

So far I’ve been playing quite a bit. I’ve got 2 characters at lvl 13ish. On my first character, I went to the rookery, and then back over the bridge to be met by the Inquisitors. They told me I should go out the gate to the East. I was met by a “Deadly” danger indicator. I sluggishly made my way to the twins boss, where I failed to kill him due to my severe lack of damage.

I returned to Sacrament via the whisper and ran into Winnick while I was there. He pointed me back to the Glades where I found the danger indicator was now “Moderate.”

Here is where my confusion lies. Was I “wrong” to go out the gate to the East first? The game definitely directed me out to the East, however, the difficulty of the monsters in the area would have suggested I went there too early.
If the Inquisitors are the first people a player sees when they leave the Rookery, why is the Nameless Pass the more dangerous area than returning to the Orban Glades?

On my second character, I got to Sacrament, made my way to the Rookery, skipped the inquisitors, and talked to Winnick. This felt way more appropriate than the difficult jump I had on my previous character.

So, was I “wrong” to go East first to the Nameless Pass? Or do the inquisitors shove their dangerous “Servant of God” quest in your face before you can accept Winnick’s “Of Rats and Raiders” quest?

-P.S. I also completely missed the Merchants on my first character for a long time because I was zoomed out on my map to the point that I couldn’t see any of their icons. (I felt like the Icons disappear too early on zoom-out, causing me to not realize they were there.)

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