It's a prison, is that not reason enough to escape?
While you try to escape you will even discover better reason, why you don't want to stay as their prisoner.
That and you hear rumors that they "cure" others from source. You see some of their leader murdering one of their own as you reach fort joy.
I actually like it's not as hand holding as certain games.
I still remember Baldur's Gate 2, Imoen get kidnapped, there a weird guy saying he can find her for 10 000 gold.
That's it now have fun in the city finding the money!