Hello! Just about halfway through my reread of Rhythm of War and some information sort of jumped out to me that I hadn't connected before.
I think that Thaidakar has actually been off of Scadrial and visited other planets--in both the cognitive and physical realms. His dilemma isn't necessarily how to travel and exist in different worlds--he's figured that out already--but rather the other common theory as to what his motives are--curbing the insanity that comes with immortality.
Two excerpts from RoW and one WoB are fueling this theory.
(1). During the final paragraph of Chapter 64 in RoW, Hoid reveals that not only does he know Kelsier (the more obvious tidbit, via Secret History), but that he's met him several times on different worlds:
“I believe it is time,” Wit said, “that I told you about Thaidakar.”
“I know of him,” Jasnah said.
“Oh, you think you do,” he said. “But I’ve met him, several times. On other planets, Jasnah" (p.761 Kindle Edition).
This suggests that Kelsier does not have a problem getting off-world, and we already know he's been able to manifest himself on at least Scadrial through the BoM/SH reveal.
(2). During the epigraph of the very same chapter, Raboniel reveals that chains from Threnody have the ability to "...anchor a person through Cognitive anomalies" and expresses that she "...fails to see what use this it could be to [her], as [she is] unable to leave the Rosharan system" (p. 751 Kindle Edition).
So we know there exists some other ways for someone like Thaidakar to perhaps anchor himself--or his Connection--to systems he is non-native to (this being a big problem for highly-invested entities, something Vasher confirmed while talking Realmaic Theory with Kaladin).
Hoid further confirms the notion that Thaidakar might have found a way to travel AND exist in foreign realms/planets by revealing to the reader that he has in fact met with him on other planets. I believe Brandon is being deliberate in denoting that Hoid and Thaidakar have met or had their run-ins on the actual, physical planets, rather than having Hoid say that he's met him in a more ambiguous manner or locations, ie. in just the Cognitive Realm. Thaidakar still cannot gain access to Roshar--which is where the key to his final problem, curbing his insanity, might lie.
(3). This might be why Brandon stated in a WoB that if given the opportunity to punch another Shard (the other being Ruin's vessel in SH), Kelsier would "...find it really fun to punch Honor. Really fun" (Orem signing — Arcanum - 2017-12-21). Access to the Rosharan system might be one of the only or few planets (and all of their magics and artifacts) that he's unable to gain access to and it just might hold the key to solving his dilemma (something that has yet to be revealed to us readers)--and is ultimately why he wants to punch Honor (or a representative, or whatever) in the face.
I'm not sure how novel these connections are that I've made, but upon my reread of RoW I realized I hadn't spotted just how obvious of clues we were given in respect to Thaidakar and the Ghostbloods operations, way before the Thaidakar reveal near the end of the novel. The fact that the chapter starts and ends with those two excerpts only solidifies the connection between what Raboniel writes in the Epigraph and what Hoid reveals to Jasnah.
Be gentle, this is my first post.