If I had to guess at a reason, I wouldn’t say it’s because they want to make us play in the Subconscious. I reckon it’s because they don’t like the idea of a fast travel so close to a boss, and lootsplosions. Look at bl2, none of the raids had fast travels, you had to fight through some guys first. The warrior had a station, but it was one of those one-way types.
Only exception is Iwajira, those kraggons outside his cave can be ignored easily.
But even if they really think like this, the arena would still warrant its own fast-travel.