I am running WLD so her is my take on it.
If you were to allow players to leave the dungeon/Prison then what would stop the evil within from escaping.
I think that allowing characters to go in and out would be a bad thing, in fact I have implemented many rules from Fantasy Flight Games Legend and Lair series to make the dungeon more oppressive and take advantage of them being trapped.
Things like...
Not being able to get adequte rest because they are not equiped for a long stay (no warm clothes)
Character races that are not use to living underground and are stuck underground for extended periods taking a minus to attacks and such from the oppressive environment, but gaining more experience from the experience (eventually wears off as they gain more experience).
I am also keeping track of food and supplies and am waiting for the archer to run out of arrows, this is creating alot of good roleplaying as characters try to conserve while exploring.
It is also forcing them to take chances that they wouldn't normally if they think they may find food, water, or other equipment.
I am really playing up the WLD as a prison created by the God of Justice, and I just don't think that would work if the front door was open.
Also, things like disease and ability drain at lower levels become much less scary when the next town over has a cleric that can help you. And don't even get me going on raise dead
I think that being able to come and go as they please would allow many things which I do not want in my campaign, but that does not mean it is wrong for yours.
Maybe later on they will find another way in and out, but not for a few levels