I am stuck in Dead Nations because I went on a rampage in it and killed everyone. Now I can't find Soego or enter Warrens of Thought. Explored the area thoroughly and came up with nothing. Found a bronze orb though, can I get out and give the orb back to Pharod now?

Have you been in the Nameless One's Tomb yet? The entrance is right before the dead end were you found the Bronze Sphere.

Yes and I collected 4 tomb keys.

Interesting, I did not explore that part well. I will explore over there then. Thank you.
Also does it affect me negatively for not talking to the priest and doing missions in Dead Nations?

No, you only missed a few mini-quests. Fighting your way out is a legit way for this level, it's just considered the more difficult one. If you weren't able to pick up Soego's skull you miss an opportunity for some experience points later on.