In fact, I would argue that both of these need some adjustment.
In writing, it is generally considered poor form to begin sentences with conjunctions (and,so=coordinating conjunctions). Therefore, to some people, "So we left that place" is not really a sentence (although acceptable in informal writing and speaking). A better choice would be "Therefore, we left that place."
I think it depends on the writing. In academic writing, it's generally considered considered poor form since a conjunction is designed to connect independent clauses. If you begin a sentence with so, it's not connected to anything. I think in academic writing, better choices would be words such as 'however,' 'as a result,' etc.
----------------NOT A TEACHER----------------------------
I don't think that a conjunction is designed to connect independent clauses.
Dear teacher,
what is right (better)?
And so(,?) we left from that place.
So(,?) we left from that place.
Thank you.
*GASP* You used a contraction! ;-)
That's exactly what the FANBOYS conjunctions do -- For, And, Nor, But, Or, Yet, and So all connect (among other things) independent clauses.