My guess is that those who live in the valley know it very well. Danger is understood, like the Sinking Sand. Food is everywhere, as is water. I don't recall a resident ever mentioning getting lost in the valley. That location is understood.
Whenever dinosaurs who live there leave, there is always something new, just waitng to be discovered by someone, be it geysers, a creature, a plant, etcetera. I think beyond the valley has just proven so many times to have so many new surprises in store that it has been dubbed a myserious place. If the dinosaurs were all-knowing of the wonders outside the valley, I think their naming would be different.
Another word for mysterious is unknown. The valley doesn't look too big to me, so it probably wouldn't be that difficult to become familiar with. The dinosaurs know the valley, while the general outside of it is unknown. They may just be saying the unknown area when using the term "Mysterious Beyond."
It may not just be a term coined by the original residents. In the fifth movie, Littlefoot's grandfather mentioned that they all seemed to have forgotten what it's like out there because they never needed to remember it, what with the valley providing all their needs. Therefore, having forgotten a lot of what it is like, and knowing that there are so many things out there they never knew, it seems appropriate to refer to the outside using a vague title.