That's an interesting perspective and not something I considered, actually the exact opposite! I imagined people would be annoyed if they had to search around for the semi-arbitrary exit when my backgrounds are mostly a little vague, which is why I added the arrows fairly late on.
I think that actually might work well if the game had a bit more detail and density, maybe more little decorations and things to explore/interact with in each scene and clearer "this is not an edge you can walk through"!