The above poster answered the question, but I would add that this tactic is not cheap if the overlord spawns baddies whilist the heroes are away (anywhere on the map, since the heroes have no line of sight), or plans something extra unpleasant for their return.
Also, it gives the Overlord plenty of time to "burn through the deck", which costs the heroes conquest tokens. It's generally not a good idea for the heroes to return to town too often.
Descent isn't so much a dungeon crawl as it is a dungeon race. The heroes are racing to get to the end and kill the big boss while the Overlord is trying to slow them down. The conquest tokens are the clock.