Shnar, the game already has some sort of incentive for the heroes to finish the third level of a dungeon : leaders are worth twice as much conquest and gold on the last level of a dungeon. It's just not enough as you say, considering that the Overlord tends to be in a pretty good position at that point and that the heroes have expended some resources getting there. That leads to blitzing and although I've never experienced it, it sounds rather boring and defeats the spirit of the game in my opinion. The problem could in fact be that the heroes have no incentive to complete the second level. So in SOB you get +2 conquest, +100 gold, and 1/4 of a special treasure (I'm guessing they're special and not just drawn from the normal treasure) for finishing the dungeon. Is it enough? Probably not. You could try scaling the rewards for the leaders (and possibly glyphs, but that may be too much) by dungeon level. On the first dungeon level, glyphs are worth 3 conquest, leaders 2 + 100 gold, on the second level glyphs could be worth 4 conquest, leaders 3 + 150 gold, and on the third level glyphs would be worth 5 conquest, leaders 4 + 200 gold. It might be worth a try, but I suspect the impact would largely vary from group to group. You could also get a ridiculously easy third dungeon level with two leaders from an unupgraded category, which would be really bank for the heroes. I'm not sure that would really discourage blitzing as much as your idea of giving free conquest to the Overlord by fleeing the dungeon though. You could try a mix of both.
P.S. This may seem a bit off-topic, but it actually isn't. It really is something I would like to see addressed in future campaign expansions if SoB's treasure maps don't do the trick.