The rules say that when the heroes end their movement on a dungeon they haven't explored yet they receive 1 conquest token and then may enter the dungeon.

My quetion is if the heroes decide not to enter the dungeon do they receive the 1 conquest? Also if they chose not to explore the dungeon can they return to the that space later to explore the dungeon or have they missed their chance?

From a realistic point of view. They'd recieve the conquest token, then may choose to enter. IF they do , and then they flee before completing the dungeon they may not return to it. If they move to another area without exploring the dungeon, they can come back and explore it at a later date.

They can't however, choose to go in, look at the first level and decided to not go in after all. That is considered fleeing and denies them the chance of a dungeon for that area.

The heroes receive the one conquest even if they do not enter.

If the heroes do not enter, they may return later and explore it.