His Palace is in the center of the twisting nether, we won't go there anytime soon, we'd be easily spotted and killed like ants, if we ever face him it will be an ambush on foreign ground, I'm fairly sure the Twisting Nether where Sargeras resides is booby trapped and has millions of demons guarding him.
We'll go to Argus, where KJ is, and we'll enter his palace/citadel.