Well to be fair, they wouldn't know what "everything" in the Mysterious Beyond is like. The Mysterious Beyond stretches in all directions, and while it may not seem to make sense to call the direction they came from the Mysterious Beyond, it's probably easier for them to do that. They haven't seen what is all around there; they only know what was from their place and even then, they traveled in a single path; they didn't walk around the valley to see what else was around there. They only know what a comparitively small portion of the Mysterious Beyond is like. So chances are, it's easier to just include this in the Mysterious Beyond.
But for the most part, I think it refers to the areas that they have not seen. There's so much more they didn't explore and so much more they don't know about. It's still pretty accurate for the valley dinosaurs to call it the Mysterious Beyond because they haven't seen what all of it is like.