I think one of the problem with a very popular grindy game like D4 is that there are just tons and tons of information, what is the most powerful build, how to do x,y,z the fastest, how to gear yourself, etc... What ended up happening is if you follow those guides from the start, it makes the game really bland because it can get too easy until the very end when you push NMD to the limit, and the difficulty spike hits very suddenly. I noticed I am having a lot more fun doing what I want to do instead of just running endless NMD, and when I do, I don't do the most optimal fast one appropriate for my level, I pick one hard enough that I need to kite enemies, pay attention to life orb at all times, etc...
It will be the chest that cost 250 cinders, and won't show up on the mini map until you're pretty close. If you want to know where they are, you can just go to helltide.com and it will tell you when helltide event is available and where is the mystery chest.