I also struggled with the meaning of "en" in this verbal phrase. If this would help--not sure it will: "S'en aller" means to Go Out Of a place. Have you ever heard the song "Dominique" by the Singing Nun?
"Dominique, -nique, -nique, s'en allait tout simplement..."
Since "de" replaces all prepositions except "to," to think of "en" as signifying "out of" might--might--help. Hope so!