It might be a little more time-consuming to backtrack out of a dungeon versus an outdoor map, but either way you're just retracing your steps. The only way a dungeon is really different is if there's one-way doors or somesuch that artificially prevent backtracking.

By aiming for the "big payoff", you walk a very fine line between user satisfaction and user irritation. That tipping point is going to vary gamer-to-gamer, too, making your cliff edge fuzzy but no less dangerous. Think of DivDiv's (in)famous opening dungeon as an illustration.