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.