I am early in the game, but I talked to everyone in the Veil town with all the hanged folks and several of them provided quest opportunities, but the locations they told me about never showed up on the map... I was reading some guide that you actually have to take the right exit (N, S, W, E) to get those areas to open up. Is that really so?

Some locations show up after taking the appropriate exit, as you've heard.  So, if you want to get to the Esternwood from Gilded Vale, you'd have to exit east on the Gilded Vale map since that's the direction Esternwood is from Gilded Vale.  Some locations, however, are given directly to you and you're able to see them on your map immediately.  I won't give those example now since it would be a spoiler.