From what I can tell, there are behests at dungeons as well.
I took a trip to the Nanawa mines with my linkshell. We activated the Behest, and it said something like the guildleves- You have a set amount of monsters you need to kill, and they're for you and your party only.
We were like cool, lets go kill one. It then oneshot me for 3,000+ damage.
That's like me, running around with Stoneskin and Shock Spikes on thinking I was the ****, next thing I know I get hit for 4k damage :P
Thank god you don't lose xp in this game, with all the exploring I've done I'd be a negative level by now