They built up some of the threats and whatnot that exist in the Unknown Regions during the Thrawn novels(ie. the Grysk)... And Exegol was also a big thing in RoS.
So I'm assuming Filoni didn't want to have yet another 'big bad' lurking in the Unknown Regions, as that would muddy the waters even more for the ST-era. So imo, he did the right thing by having all of this take place outside the main galaxy.