I seem to be stuck in the area where Pharod is and can't seem to find an exit from that village. How do I get back to the Hive? If I open the world map and click on the locations nothing happens...

North west corner of the map there is passage back to the tunnels.

press M for map. the exit should be marked.

Let's not forget what poor resolution and the sharp (figurative) contrast between hand-painted backgrounds and sprites does to perception. There's plenty of stuff that can be missed because of backgrounds that are a bit too detailed at times, for instance by making it unclear where you should look for a door, or even causing you to miss a large passage between two buildings or confuse an actual building with a foreground object because of its placement on the current map.

To answer the original question, the world map only comes into use once you've visited each major area of Sigil at least once, sadly. (Or at least gotten to the Clerk's Ward - I guess the Alley of Dangerous Angles is easy to miss).

To get back to the Hive, first make sure you have a piece of Junk on you. If you're really stuck in Pharod's Court, note that the exit is to the south-west - it's a fairly large entrance, and there should be subtle shapes indicating a doorway there. Just move your mouse along the "fourth south-western wall" until you get the option to leave.
From there on, proceed to the north-westernmost point in the Buried Village to re-enter the Trash Warrens. Make your way through the large doors to the north-west to return to Ragpicker's Square. Walk a few steps to the north-east under the trash "doorway" - a portal can only form naturally inside a bounded area (in Sigil) in the Planescape setting, apparently - and you should trigger a dialogue where you can activate the portal back.