I always feel bad when a menu chat friend asks me for help when I'm in a dungeon. I wish I could tell them, "I'm in a dungeon" when I'm mid battle.
Also, in a dungeon, I don't always have time to scan through all of my current quests to communicate which dungeon I'm in. And, even if I do take the time to tell them which quest I'm working on, they might not understand that that particular quest is a dungeon (if they haven't done it before, or don't remember).
This is my first post here in the Wizard101 message board. If this suggestion is in the wrong place or not submitted properly please let me know. :)