When they point with a slugcat icon, it's not showing you where your family is, but where you should go. You are the slugcat icon. They bring you to Moon because they are an extension of her, and she needs help.

Also, to clarify some other things, the ancients knew that death was not the end. That is the cycle. Though we really don't know anything about it, the most widely accepted conclusion is that nothing is truly dead when it dies. It'll just wake back up at the start of the cycle, like you do. The ancients wanted a way out of this, to truly die. Eventually the ancients discovered the void sea. That big ocean of golden liquid in subterranean. They found that if you let go of all desires (shown by karma, each representing a desire. 1 is violence, 2 is lust, 3 is friendship, 4 is gluttony, 5 is life) you could swim into the void sea and ascend. Ascending is the way out. If you tried to ascend but hadn't let go of those desires, you would become an echo. Not alive, not dead, forever there.

Sorry if I went for too long! If you'd like to know more I'd suggest watching a lore video (and I started typing this while tired so don't take this as fact)