By rights entering the Shadow World should give players pause and make them reconsider...but I see them jumping straight into the well, so to speak. Me thinks it is the players that just HAVE to know what is on the other side.
Anyway, as you've all noticed by now, I find adventures that are not challenging pointless...and I'm also not too keen on scaling things to fit a low-level group...so if you risk much with your low-level regent, chances are you'll die fairly quickly.
To be heroic is to risk your life - and there has to be real risk, not the pretend risk that so many games have...and reward without risk is worst of all, things that come cheap give no sense of accomplishment.
Now, the only thing that is difficult in a PbeM game is to drive the story forward (players are too reluctant to add things to the story) and to evoke a sense of CHOICE in the span of just a few posts...
...for risk and reward without choice, now that is just a DM ego-trip...