Pesky "Hero's Return" pursuit notifications seem to have served a useful purpose. I just got done doing two Dark Anchors: one for the Dark Anchor pursuit because it was handy (Calambar Dolmen in Auridon) and one (Green Hall Dolmen in Grahtwood) because the Fighters Guild quest pursuit and a sneaking suspicion raised by the first one. Neither spawned loot chests after closing. Gold, XP, guild rep, and boss loot were as expected, but no chest.
I'm fresh out of outrage, but I could muster up some amused annoyance if required.