Your sentence is engaging and sets up an exciting story. Here’s some feedback and possible refinements:
Strengths:

Intriguing Hook: "Anew adventure begins!" grabs attention right away. However, "Anew" should be "A new" (unless "Anew" is intentional for stylistic reasons).
Sense of Mystery: The "mysterious escort" adds intrigue, making readers curious about what’s to come.
Expansive Scope: The phrase “their world expands in a new, thrilling saga” promises a grand adventure, appealing to fans of epic storytelling.

Suggestions for Improvement:

Grammar Correction: “Anew” should be “A new.”
Clarity & Flow:

“Led by a mysterious escort” could be reworded for smoother reading. Example:

"Alissia and the Supreme Primordials leave Earth, guided by a mysterious escort, while those left behind face their own challenges."
“Join the Primordials as their world expands” could be clearer. Maybe:

"Embark on an exhilarating journey with the Primordials as their universe unfolds in an epic new saga!"



Final Thoughts:
It’s a strong, engaging setup! A few minor tweaks can enhance readability and impact. Would you like a more dramatic or poetic version?