Am I the only person who finds it REALLY uncomfortable that we find ourselves putting down a slave rebellion while allegedly being "heroic" there?
Personally I wish we could get a rewrite where we discover that we have been enlisted to do that, go "nope" and join the enslaved creatures fighting for their freedom from their masters. It would not even take that much of a rewrite for the final battle, and would be, to me, much more fun.
One thing you got to realize with this. Ul'Dah is NOT a very nice place. If you are paying attention to the whole storyline there, it is a very corrupt place where the rich abuse the less fortunate anyway they can for profit and greed rules the day. Thus the dungeon fits the bill perfectly.
Also remember, this is the beginning of the game and you are just a 'sellsword' looking for work and happen to accept that job. The whole hero/WOL thing had not yet really started.