Hey all!
The behavior of being teleported directly to Frostwyrm Lair once all 4 wings are cleared is technically not a bug. This is the behavior that existed in the original game.
However, we have decided this is worth changing. In an upcoming hotfix, zoning into Naxxramas will now place you on the lower entrance platform, avoiding the teleport into Frostwyrm lair until you walk to the upper platform.
In keeping with the theme of the raid, however, there will still be no natural exit from Frostwyrm Lair. Naxxramas is, among other things, a magical prison from which escape is difficult for both physical and psychic reasons. One does not simply walk out of Naxxramas. 
In order to escape from Naxxramas, you’ll require the aid of powerful sorcery, available from mages, warlocks, or your local innkeeper.
Once you have exited, returning will start you in the lower 4 wings.