If the 4 heroes are blocking the entrance where the monsters come into play?

In the nearest square. It is explained at the start of the Quest Book.

Yep, this tactic pretty much just helps the OL get his monsters in between heroes and their goal.

What about the need for minions to leave the board e.g. Splig. What are the rules as far as heroes blocking a route of exit?

That kind of tactic, blocking an exiting monster's path, is perfectly legal. If the heroes took up every space in the exit Splig could not leave because monsters are not able to move through heroes.

Apart from those with Scamper of course (not Splig). However, with his Knockback and OL's Dark Charm, not to mention good ol' fashion putting the hero down, holes can open up fast.

Yeah, my group replayed A Fat Goblin again today and I managed to get Split out no problem. Last time they blocked him and I was stuffed lol.