Yes Exodus would make a big show out of him attacking Wanda but he would see the Gala as neutral territory and of course he knows very well how Magneto would react to that.
I believe that part with Magneto arguing with the Quiet Council is about him asking them to bring Wanda back to life and them rejecting that proposal and Sinister most likely saying something mocking which makes Magneto angry at him.
Onslaught as a villain for the Avengers and X-men to fight makes the most sense for me and right now heīs able to posses anyone in Krakoa.