I've only ever played in single-player mode, but I suspect in multi-player there will be more problems.
Unless you have the teleport pyramids, I see no way out of Black Cove if you can't exit now. Sorry to be the bearer of bad tidings, but you'll probably have to go back to a save before you entered.
(Whenever I get into Black Cove, with or without the teleport pyramids, I always first exit through the portal, just to make sure it is working!)
