I decided to do it anyway.
I had 285 XP on all four characters and left.
They all had 33 XP after.
I have 139 unlocked characters, but (285*4)/139 isn't 33, so my idea can't be right. But (285*4*4)/139 is roughly 33. This is probably just a coincidence though as I don't get why such a nice bonus would be given.
Now I did one fight and all four characters had 117 XP each. I left Sanctum and there was no change.
The mystery ensues...