In Rogue One we got a glimpse of where Darth Vader resided for the majority of his life. He had taken up residence in Mustafar where he had been mutilated. Why would someone want to live where one of their most horrid memory resides? Why did Darth Sidious choose Mustafar for the Separatist leaders to go before the Battle of Utapau? It could possibly mean the dark side is strong on the surface of Mustafar. Anakin’s eyes fully turned yellow on Mustafar rather than on Coruscant where he officially declared himself Lord Vader. The dark side was very strong with him on Mustafar. The dark side can reside in many planets in canon/non canon stories such as: Korriban (now Moraband), Malachor V, Dxun, Dagobah, and Mortis. Darth Vader could have built his castle on Mustafar to channel the dark side in its rawest form. He needed somewhere to wallow in his self hate and pain. Dark side users are known to use that to their advantage in becoming stronger in the dark side (Kylo Ren). There was a reason why Anakin ended up on Mustafar rather than Dooku, Maul, or Grievous. Anakin had more passion in his heart than the whole trio combined. It’s stated on Wookieepedia that Vader and Sidious often returned to the planet to meditate and channel the dark side. In the Clone Wars, the criminal organization, The Black Sun, had a fortress on Mustafar which was used by Darth Maul, Savage Opress, and Pre Vizsla (leader of Death Watch Mandalorian Terrorist Clan). Mustafar was used for several dark side dealings and events.
Snoke is said to be an ancient being, true in the dark side. What better place to reside in an already built castle in a place where the dark side is strong? Snoke wanted to oversee events unfold far from Starkiller Base. He had formed the Knights of Ren in hopes of defeating threats to him and from the Sith from returning. It is also possible that the rest of the Knights of Ren are residing with Snoke in Vader’s Castle. Snoke sent Kylo where the Resistance would be focused on most, Starkiller Base and The First Order. The First Order is not Kylo’s, it’s General Hux’s and Snoke’s. Kylo was put there on purpose to draw out his mother, General Leia and his uncle and former master, Luke Skywalker. He wanted to kill two birds with one stone, cut off the head of the Resistance snake and end the Jedi. Unfortunately, Snoke realizes Kylo has not fully turned to the dark side. He has a weak spot for something that is yet to be known. Even after killing Han Solo he has yet to get in touch with the dark side and become an actual Sith. If you have noticed, his eyes haven’t yet turned yellow like Anakin, Savage Opress, Darth Maul, and Ventress. Having yellow eyes is a physical reaction to tapping into the dark side, when someone has truly turned evil. Kylo could very much turn to the light if his weakness is exploited.
There’s a reason Vader’s Castle was shown in Rogue One, it’s been known that there is a significance for everything in Star Wars. The Castle could be considered an easter egg for Episode 9 or 10.