I agree that if there is a compelling reason not to leave, then of course there will be at least one player who will want to leave.
Even if you blatently state that there is no treasure or experience points to be gained outside of this castle/dungeon/spaceship/small village, there will always be one person who thinks that there might be and wants to check it out.
I agree that it is better to build campaigns around characters. There are some problems I've encountered. The first is the party that has a bunch of cool characters individually, but there is no way to make them work together. "Your vampiric necromancer dragon is really cool, but not likely to travel with Kathy's celestial paladin dragon slayer who eminates an aura that destroys all undead within a mile."
Closely following this is the one player who suddenly loses interest in their own character when they see how similar or cooler another character that is in the group. Nerd Player A: "I can start diplomatic relations. My guy is good at that." Nerd Player B: "No. My guy is twice as good at negotiation as your guy. Why don't you just wait to bash these monsters when they enventually turn evil." Nerd Player C: "Hey that's what my charcter plans to do." Nerd Player A: "Fine, I'll just do nothing (again)."
Then there are the groups where suddenly all the charcters are remarkably similar, just with different names, so they end up competing violently to do all the same stuff. Nerd Player J: "I bash the monster for X-gazilion damage." GM: "The monster is completely inviscerated."' Nerd Players K, L, and M: "Hey that's what my character was going to do, you jerk."
42 wonders how many Nerdery Collumns could be written about stuff mentioned in this thread.