Can Baron Zachareth choose to bash down the stuck door, he has a Might rating after all? I assume it can as the instructions say any figure can bash the door not specifically heroes?

Why would he? (If it says "figure," he could- he is a monster, but like all monsters he is also a figure.)

Why would he? Well the tactic worked very well for me. I bashed down the door, immediately allowing my flesh moulders through from the otherside, which were activated when the players entered the caravan square, which allowed the flesh moulders to heal the Baron as I fought for the casket!

That's a good idea- never thought to do that, always saved the door as a way to slow the heroes.

EDIT: It took me a moment to realize that you opened the door after the heroes had entered the caravan tile. That's a lot of work just to have the master moulder healing Zachareth, but if it worked well for you, that's good.