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Welcome to D.D .
The stress inflicted on the heroes when you quit is whatever they have to deal with to actually get out of the dungeon. Monsters will spawn even in hallways you've already been in so it makes sense for the heroes to meet resistance when they are trying to leave. And the reason higher level heroes won't go into lower level dungeons is because the stats of the enemies differ depending on the level of the dungeon. As you go into higher level dungeons, the previous enemies get stronger and new enemies get added.
If you could take higher lvl heroes into lower level dungeons, you could steamroll the entire one 3rd of the game and the 2nd one, simply because your heroes will reach a point where they will, quite plainly, be unstoppable. The point of the game is not for you to be unstoppable, the point is having to make the most out of a bad situation, as the title card says.
Persist. If you are still playing after the four first hours, it means the game has already clicked for you. You're currently trying to understand what it asks of you.
As for the rest, it's standard stuff. This is not a typical A-to-B RPG where all that matters is reaching story checkmarks -- rather, it's about building up your entire barracks to take on the big bad at Champion level, and this will require grinding (eg. gathering gold, heirlooms, trinkets, raising the town, leveling and re-leveling fresh heroes and teams, a bit of min-maxing, avoiding perma-death while trying to push into the finale, etc).
In short, if you're not keen on a bit of grinding, chances are you'll be annoyed - leading back to Radiant Mode, which was designed for those who want a quicker campaign.