If you make any mention of "the Hidden Kingdom" outside of Valla, a curse will claim your body and soul, making you vanish (similar to Azura at the end of Birthright and Conquest). Since Azura wants Corrin to know about the hidden threat, she cannot talk about it... but what would happen if she wrote the message on a piece of paper?
Little did she realize that Corrin can be a bit of an airhead. Her plan backfires as Corrin read the contents of the letter out loud. With her now claimed by Anankos, her fate has been sealed. Azura only knows how the curse is triggered, but she was never told where those afflicted would be taken to...
Enjoy!~