Considering he clash with Void and considering Void was elected to become the figurehead to resist him, Loki must have known where this place is.
But he did not once spoke about that place when they were together in that room. He could only bitterly smile as he thinks about Loki half-truth statement
'Well, he would not be the trickster if he spoke honestly' Azief thought to himself.
Then Azief turns his head to stare at Sasha face before saying calmly and without any tones of accusation but it still made Sasha almost flinched
'It seems that there are many things we don't know' Sasha nodded in understanding.
'Should we branch out?' Sasha ask. She is trying to probe Death Monarch intention and then she added
'Our agents have always been inside Pandemonium and only monitor Pandemonium'
As they are talking they arrived on the lower grounds of the Palace. It is the place where the courtyard of the four seasons is located.