Working in the middle east

I've been offered a role in as an analyst in a SWF in Abu Dhabi - it requires a large move and hence just considering my options.

Have gone through the forum here and found that there have been comments that it is difficult to get an exit out of the country, but not very much explanation was provided. 

Does anyone have an opinion or experience with this? What would be the main challenges working there as well as the potential opportunities outside of it?

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