That`s portal to new enemy hero Scrounger, you battle with her to finish quest you got in first island by orc shopkeeper.
Exit from Sheterra is right from it, you get in boat and click on little ship above minimap and chose where you want to go. It`s same as getting to any other island, just on Sheterra you cant sail around, just show up there and exit boat. There is no happy sightseeing around
