I agreed to kill Saheila but I don't want to do it anymore, but the game won't let me cancel my agreement with Magister Boris. Either kill her or.. the story is stuck.

So I googled it and found that I need to speak to Zaleskar in Hollow Marshes to progress the story ("killing Alexander" questline).

How do I go there from Fort Joy? Does escaping Fort Joy (which I can do) take me there or somewhere else?

Followup question - I saved Amyro and he said he'll show me a secret passage to escape. I don't see "secret passage" anywhere on the map.

Where is the secret passage?

How on Earth do people play and beat these games?

Escaping Fort Joy leads to hollow marshes. I think the secret passage is next to the murdering gheist and you need wits to spot it.

This game was occasionally so confusing (and sometimes buggy) with the quest log that I felt ok looking up a walkthrough a couple of times instead of banging my head against the wall.

I know at first this game is confusing, but the only thing you have to keep in mind is that every quest marker (as the game itself calls them) is instead a Point-of-Interest, which might even be an NPC.
That and that alone clarifies a lot of doubts, but still it might be tricky to find some places if you have an hard time exploring the map.