Is going through all 4 levels important to the main quest or any side quests besides the holy sword?
For the main quest it is not important. But you can finish an other side quest at lvl 4. For the holy sword you must only go to lvl 1.
Once you leave the dungeon, can you get back in?
Yes, you can. <img src="/ubbthreads/images/graemlins/smile.gif" alt="" />