Check that you didn't disable tutorial messages (Game section of the options). You can open the tutorial log with the ? button on the left side of the mini-map (and there is also an option at the bottom left of the log to show the tutorial messages or not).

Tutorials are saved per-profile, so they may not be triggering if someone else played the game previously using that profile. Creating a new profile would help in this case, and you could move your saves over from the current profile (D:OS 2 has an option to reset the tutorials when starting a new game).
Each save is a folder in the '..\Documents\Larian Studios\Divinity Original Sin Enhanced Edition\PlayerProfiles\<ProfileName>\Savegames_patch' folder.

Ragequin drops the key to the exit door; check the area holding Alt (X in Linux, or with Show World Tooltips toggle on in the controller UI).
Alternately, you can backtrack, and go out the same way you went in.