Should there be a sign on the path on the starting square, which is automatically read by the adventurer?
Something like: "Welcome to the Drakalor Chain. Many adventurers have entered this land seeking adventure. Champions may leave the chain to return to their homeland and fame and glory. In theory. None have lived long enough to be champion thus far." ..Of course, those who don't have literacy will just see a sign with some markings on it.

No idea what the actual wording of the sign should be. The test above was just off the top of my head, and I'm not sure I entirely like it. ..Though I like the idea that the last two sentences could be changed to something along the lines of "Though few have survived the Chain long enough to become champions" if you manage to have a victor. Maybe it should just be the first three sentences, or a briefer version of them?

edit: In game implementation, this could just be flavour-text at the very start of the game. I don't expect any actual "road sign" type of object needs to be implemented. ..unless road-signs would be considered useful to the wider game. :)

Not sure, there almost has to be some type of guide character that would meet you as soon as you exit the caverns of chaos and tell you that you are free to leave to chain (via the road in the north east) or you can continue to explore.

Talk to Thrundarr, get a quest to go back home?

To be honest I think this would be too much hand-holding. Come on, a player that has closed the gate is not a noob. And IIRC the NPCs in the Chain give you conversation saying that corruption has stopped, etc.

Has anyone ever closed the gate and found this to be a problem?

I think some guidance would be nice for end-game in general. The only time I "won" I was playing a Chaos Knight, and bad things happened after I pulled the levers (I didn't look up how to do endings cause I didn't want to spoil my first win). I instantly was destroyed by my diety, and it would have been nice to at least get some sort of warning that pulling the levers did something.

As for leaving the chain, I think there should be a guide there as well. There is no reason not to, and it will make things more enjoyable for those who aren't spoiled. I would love to have in-game direction instead of relying on the Guidebook.

It's no more hand holding then adding the "Your skin crawls to the north west" message that is currently available. So adding something to give the player more direction goes in line with this.

I believe the NPCs in Terinyo instruct the PC to head back, something like "Now ye should return to your people."

I don't want to get into the Chaos Knight ending too much but it raises a good point, with the other endings, the game is just over, - this is like most other games, you know you won and the game cuts to the credits or the score screen, but with the normal ending its too open ended for the player. Its great that you can still explore but the player should know what they need to do to end the game once and for all.

Sure, but a newbie that hasn't even found the main dungeon needs the hand holding. A seasoned player that has just closed the gate doesn't. And honestly, the skin crawling messages you mention don't totally convince me either, they feel too forced.

To be quite honest,

The only reason I knew that leaving the chain would end the game was from the YAVP .flg dumps and how you can see the PC @ in the corner of the map.
To supplement that, I knew that you could leave the chain at will but it didn't serve any purpose.

How about, if you leave the chain before winning you get the following prompt:

Do you want to leave the Drakalor Chain?
Do you want to end the game even though you have not stopped the forces of chaos?

Currently it only says Do you want to leave the Drakalor Chain [y/n] Y
Do you want to end the game [y/n]

So this could be the prompt you get after winning. Is that a fair compromise?

Yes, IMO. I like that.

Me too. Plus its likely the easiest change to implement.

I at least knew that the game would be ended by exiting, long before winning or reading any YAVPs. Simply by trying that "hey, let's go back and see what happens". I really think it's a one in a hundred chance that a game winner doesn't know that.

I also think that it's a nice flavour twist in the game that you can actually die after closing the gate, and still the game is considered won.

I think it is natural to try talking to characters after closing the gate. The ancient dwarf is the most prominent one, and he does tell you that you should go home. Not sure whether Khelavaster and other guys in Terinyo say this too. If not, they should.

But making the leave message clearly mention winning is okay too.

I added advice in various places.