1) Souls couldn't leave. Things and information could.
2) Primus created the designs, but he never actually made anything from them, deeming them too powerful to ever be used. He hid the designs, not the items, within his own memory, not anywhere on Azeroth or anywhere else. There was never ever any other explanation from Primus ever. "On Azeroth" part is a product of your imagination.
The cutscene you linked is literally the Jailer torturing the designs out of Primus after expositing how the previous such torture sessions already supplied his armies. And your interpretation requires the Nathrezim to somehow find the blade and the Helm on Azeroth, retrieve them and then present them to Kil'jaeden to send them back to Azeroth anyway. It literally makes no sense.