They could also tie the lair to the monster in some cases... so the lair is invincible until the monster is slain.

or make it so it won't move more than one square away from its lair.

I think sneaking in to get loot is a good thing, but the chance of success should be very small. If you fail a nearly unbeatable opponent should spawn. Think Bilbo Baggins.

To keep players from sacrificing a hero to set off a monster bomb in opponents territory, the spawned monster should bear some kind of blood grudge against the invader and target those units or cities.

It might make for an interesting gamble if you really needed some good loot. Maybe some of the path of the assasin traits could help the chance of success.