Café de Nuit

My general feel on this is a little more narrativeist than the general convo here, but what the hell.

There are, imo, two broad types of Ravenloft games. Outlander games, where the setting is an encounter to be survived or escaped, and native games, where it's a spooky campaign setting. These philosophies lead to very different takes on how to construct Ravenloft content; Outlander games benefit from smaller, more focused Domains, require strict rules on planar travel, need frequent portals to facilitate escape. A lot of the 2 and even 3e rules have that early d&d trying to outwit the players energy, getting ahead of clever spells and magic items that'll let them skip the adventure. Native games benefit from larger, more cohesive domains where the Darklords have several threats to their power and there are clear power structures to facilitate adventuring parties and do not, I argue, need the same restrictions on divination and teleportation as outlander games. There's nowhere to just bail to. Ravenloft natives knowing about other worlds goes back to Van Richten's Guide to Vampires, and I'd even argue visiting them doesn't break the setting as long as the Mists eventually drag you back.

As a matter of fact, searching for occult means to communicate with and visit Secret Chiefs and Higher Realms is a huge part of the occult traditions that grew up along with the late gothic literary tradition. If you want help characterizing Madame Eva, Madame Blavatsky isn't a bad place to start. Masque of the Red Death literally has Crowley as a major villain. 3e, on re-read, even has this worked into the demiplane's dynamic; Masques like Red Death exist and can be traveled to, so Ravenloft could have tiny colonies in the Feywild, Shadowfell, Astral Sea, or wherever else you might want to take your Native characters for a wild trip or be the dark goal of your villains.

This is a lot of words to get to 'just do what you need for your game', which while a bit dismissive is also, I think, fundamentally true.

First off, yeah, do what works for your game.

With that out of the way, I do think there's mileage to be had in "The exception that proves the rule." Once you've established that planar travel doesn't work from Ravenloft, it becomes a REALLY BIG DEAL that one time it does work. And by one time, I'm talking one time per campaign or so. The funny thing is, if my campaign has one time the rules broke, and your campaign has one time, and his and hers and eventually everyone's got "that one time" so it's actually not all that uncommon after all. But the PCs in a given campaign don't know that, so as long as it's conveyed as a BIG DEAL, it will be.

Along those lines, I had a PC talk to the Dark Powers ONCE. I had an extraplanar being (an Inevitable) building a portal out of Ravenloft ONCE. I had a darklord (Gabby) leave her domain (via her son's powers) ONCE. I had closed domain borders being bypassed (via Carnival) ONCE. I had someone (sort of) leave Ravenloft proper and end up on Gothic Earth ONCE.

My PCs don't need to know about any other times these things may have happened in the canon or in other campaigns (even if my players do).

You can leave the Mistworld it is simply very difficult to do so.