Exploring the Chaos Palace was part of Kyran's to-do list.
His reason was apparent. Since it was his predecessor's stronghold from the Chaos Reign era, then as his successor, he had to go and see the place. Mostly to learn more about his predecessor's past and find if he had a magic weapon he left behind.
Kyran came up with three options to cover for his lack of a magic weapon. The first option he came up with was to mold his magic into a weapon. The second was to craft a weapon himself. And last was to go to Chaos Palace and find his predecessor's weapon.
Others might find it strange that Kyran had listed finding the Dark Sage's weapon as his last option. Would it not be easier to find an already crafted weapon than create one?