I suggest stopping once you feel like the enemies seem like their getting a little too hard, for example when you can’t complete a quest node without losing a character.
Advancing the explore mode story line benefits you by unlocking challenges and slightly increasing the contents of the items Durnan sells and the content of secret chests.
The down side is that the challenge you unlock might be too hard for your characters, and you could go down from a 3-dice challenge reward to a single die. I also like having Explore mode available to rush quests that are otherwise difficult to complete.
For myself, I haven’t completed the final explore mode storyline for the above mentioned reasons.
A happy compromise is to redo levels which has “walls” and try to find secret rooms there. I’ve found that upon redoing a node several times, I end up discovering a secret door that wasn’t visible previously.