After reviewing Dalinar's vision in WoR chapter 4, The "Obsidian" structure at the purelake seems to be the gateway to something(Urithiru?). Consequently, it is the purelake where we see our three travelers waiting for Hoid in WoK. Is it possible that traveling between worlds must happen at a specific place within Roshar?
That being said, It would make sense to me that when Dalinar was a soldier in his vision, he was guarding the Gateway to other worlds entirely. This leads me to believe that Urithiru was not even on Roshar, yet still in the physical realm. Whoever Sja-anat is, he has a great desire to get through this gateway.
From Dalinar's Vision,
“It’s here, then,” the knight said. “Sja-anat’s spy. Caeb, run to the checkpoint. The rest of you, keep watching. It won’t be able to go far without a carrier.” She yanked something off her belt, a small pouch.
"
a carrier being somebody who has the ability to get through the gateway?
This is just a theory!