I know, innit great? (Wish granted, by the way.)
Wow...this post should have a spoiler warning. So much magic-ruining just went down my head's still spinning.
That's a chicken exit. The door is located on the left side of the portrait hall, about halfway down.
You know, we left the HM from the gallery one time because a couple of kiddos were doing something naughty in their doombuggy, but I don't remember anything other than a short flight of stairs with white walls and exiting from the side of the building.
It leads into a passageway that passes along the outside of the storm diorama. You go up stairs, up some more stairs inside the berm, and exit to the left from a door in one of the crypts built into the berm's retaining wall. You're at the bottom of a trench of sorts, by the extended queue, roughly 50 feet from the facade. You follow the trench to the right, turn left, turn right again, and exit the grounds via the gate that also leads to the HMH FastPass area. You can see all this in my scale model (see my sig for the links).