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A lot of times, there are huge advantages. For instance, as someone else pointed out, you won, you're in great shape, and you can summon a Shambler and you're pretty sure you can curb stomp it. Why not? Even if you're wrong and it goes badly, you can retreat with no consequences.
Also any time you have substantial parts of the map (or even a tiny part of the map) to explore, why not get every single little curio and trinket you can find?
The only time I don't continue exploring is if I'm loaded up with Jute Tapestries and other massive treasure, and no supplies, and I'm unlikely to find anything more valuable by continuing, or if the party is in such bad shape that I'm just gambling with their lives for trivial benefits.
In general, I'd say the default option is to continue after finishing the mission unless it would be really dangerous, or you're so stressed out yourself you just want it over (this game seems to have a mechanic where it applies stress to the player).
You're also practically required to Retreat from the Crimson Court and Darkest Dungeon missions, as they require multiple forays to explore the entire map and accomplish the objecive.
Damn that retreat icon and its' auto correct!