Maybe the best we can do is give an intuition based on the prime number theorem.
If $p_n$ is the $n$th prime, then the prime counting function $\pi(p_n) = n$.
Denote by $p_n\#$ the product of the first $n$ primes. Then, as you already know, $p_n\# + 1$ is not divisible by any of the first $n$ primes. This suggests that it is prime, contradicting, as you already know, the idea that the primes are finite. But if $p_n\# + 1$ is composite, as you already know, it also contradicts the idea that the primes are finite.
If $p_n\# + 1$ is indeed composite, its least prime factor must be greater than $p_n$ but less than $\sqrt{p_n\# + 1}$. Since there are something like $$\frac{\sqrt{p_n\# + 1}}{\log \sqrt{p_n\# + 1}}$$ primes less than $\sqrt{p_n\# + 1}$, there are about $$\frac{\sqrt{p_n\# + 1}}{\log \sqrt{p_n\# + 1}} - n$$ potential least prime factors for $p_n\# + 1$. And since this number is positive and greater than $1$ for $n > 3$, it seems likelier than not that $p_n\# + 1$ does indeed have a nontrivial least prime factor.