Great Elder Xia, upon not being able to find any traces of his mortal wife, had to use divination to find her. But the fate of the Yue family had long been attached to Yue Xuexia, and divining about her would cause a diviner to suffer a punishment from the heavens. This is something Shen Jueyang had done to prevent any leakage of his existence from his enemies.
Though this is the lowest realm in all worlds, it can be said that most of the lower deities are connected to this place. This is where their believers live. Which is why it wouldn't be hard for those in the immortal realm to know about what is happening in this realm, as long as they are interested.