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In the Single player map, you don't get the option of wandering too far off the linear path through the game, so you just need to make sure that you're not backtracking and you'll cover all the ground. You can still do a few small loops within some areas, but if you look for unrevealed parts on the mini-map you can find the way out from anywhere.

The path through the caves winds around a bit, so telling you one direction to go doesn't help. There's also a few branches off the main path that are dead-ends but provide secondary rewards for the explorer. You can easily get turned around by these and end up going back the way you came in. Use the mini-map to make sure you explored it all, and you should find the other exit you need.

The caves don't emerge directly at Fortress Kroth either, there's a bit more ground to cover after you get out of the caves.