AFAIR, you have to advance first the story in the "main world" of Leridia, in order to be then able to advance the story in the Lost Dimension.How do I leave the Lost Dimension? I am stuck in a camp where I need to talk to someone later, but I can't really find anything else to do in the LD. I can't enter the cave to the north without first visiting the camp I get a message about, and I can't attack the next tower alone. I think the last boss I defeated was Malek. I've tried activating some statues to try to teleport to the hideout, but it seems the ones in the LD aren't teleportable ones, or I've just missed one that is.
Also, I couldn't progress to the capital without first visiting the Lost Dimension to defeat two towers, so I don't really know what to do next.
Concerning the statues in the Lost Dimension: you can use them to teleport yourself to the first tower of the Lost Dimension (i.e. the Temple of Diane). And with the statue in this first tower, you can teleport yourself to the Hideout. Note that you can exit this dimension only with this statue and not with the others.