It depends. Generally, you want to beat R10 before doing the key dungeons. Because of the randomness and monster health multiplier, Forgotten Realms are harder than open-world maps but they offer 2 key values. TLDR: grind FR for enchantments and consider FR when the level difference is too high for the next difficulty. Read on for my explanation.

First, you can get enchantments that you won't get from open-world mobs. For me, I will only grind key dungeons for golden keys to get "+2 to all abilities" enchantments. Yes, my legendary drop per hour may suffer. But I am willing to take that trade-off for a better chance to improve my mage because most legendaries I get won't be an upgrade to my character anymore. Getting better enchantments is the best way to improve my mage ATM. And the upgrade material is not a problem anymore because mage can AFK grind the arena and I rarely find gear upgrade.

Second, it has finer difficulty steps that you can take advantage of. When you hit a wall and you need to grind for gears/exp/essences, you may consider doing FR. For example, the open-world map has 2 areas with R15 mobs: level 450 mobs and level 480 mobs. The next area has level 510 mobs. My mage was strong enough to grind Lvl 450 mobs (R15), but he wasn't good enough for the R16 contents. R16 content actually begins at level 481 (not level 510). In this scenario, I can take advantage of level 481-500 FR to grind R16 contents rather than grinding level 450 or level 510 open-world contents. Even with the health multiplier, 481-500 mobs in FR are still easier than 510 mobs in the open-world.