Not to be argumentative, but you still don't need multiple boards to play this. People will do what they do of course. Some people want a unique miniature for every named character and a professionally printed card for each one-off quest note item. Some people can't stand the fact that some official quests call for too many pieces of furniture/doors (even though you just get around this by re-using parts from old rooms). I feel that, but you still don't need any extra assets to play this adventure "properly" than what you got in the box... the Game System + the 12 mercs (with 24 weapon options and cards).
Regarding the "exit off the board" issue:
You solve it like this... someone goes off board, they are (temporarily) "out of the game" and waiting for the rest of the group, just like the stairs/exit door in other quests. When the last person exits, then they all teleport together on the other side of the doorway on the same "new" board. The board is cleared, "reset" by their travel, that's it.They don't instantly go onto another board and keep moving while everyone else is still on the old board. What are you going to do next, camp one hero on each board to prevent the monsters from "respawning"? Plus, the hero who has "gone rogue" on his own might not even make it to the next door alive... really bad idea since there's only one Elixir of Life (assuming you're using the maximalist interpretation of it, that a hero who died anywhere can be brought back to life and magically within sight of the one who used it to revive them instead of having to physically track down their body on the exact square they died as some prefer). I'll say it again, I thought along similar lines to a lot of people when all I knew was the Phoenix re-creation of the Dark Company, but studying the EU edition it makes a lot more sense how it was intended to work. And the goal of the quest isn't to explore everything and everywhere either, it's to kill two specific bad guys that are found in the same room and perhaps wipe out the bad guys in that same section, that's it. Do this and you win! (I don't think these bad guys regain their health if you happened to wound them and then run away to another board though).
Yes, there are a few accidental dupes of furniture, but they don't really change anything. To me the barrier to entry is more the extreme difficulty and time commitment on this one, than any concern about needing to buy extra sets. Even if you are lucky enough to have four game systems lying around to do that, you are going to have to make adjustments to gameplay anyway, because now you have to have a much bigger table and Morcar has to keep track of all of it, plus you could have people lingering on different boards (until they get killed of course).
What is the advantage of someone going off by themselves? At best they are hanging back to search for stuff, but under the EU rules, there's only one treasure search per room anyway (not like the NA edition where you get one for each hero). We can assume if you own the Dark Company you're playing under the 2nd EU edition rules rather than the first, so no worries about forgetting to search one of the corridors for treasure (this rule only existed in the 1st edition).
Now you might ask what happens if they all wander off in different directions and exit via different doors? I'm not even sure if that's possible unless they use Pass Through Rock (which is limited to one use in most cases, they need to visit the specific room to replenish that spell, right?). You could have Morcar "rule" that the majority of heroes exiting one area means they all teleport to that area rather than the alternate path someone else took.
Each section of the board you enter is kind of limited to a narrow corridor. Unless someone is using Pass Through Rock to go off path, I don't see any real effort on Morcar's part to fix it, least of all needing to own multiple sets. Dark Company was designed much like the "double quests" in other expansions, that you clear the board when the "last hero" exits. And what gets reset? Only the monsters that were killed come back. Treasures already found are no longer available (though in theory the "recharge" rooms could be re-used I suppose) including card searches of existing rooms which Morcar would ahve to keep track of.
Yeah, it would be cool to have four boards going at once and maybe multiple GMs running it, but the way the quest is meant to be played, you're covering little sections, narrow snippets of each area before you move onto the next board, not exploring the whole thing then going onto the next. I don't see there being much need for someone to even want to venture off, but if they did, it can easily be resolved using the logic above which already has precedent in the HQ world via the exit doors in KK/ROTWL (even without getting into the "double quests" of EQP/BQP which are under the NA rules).