Thanks so much for the replies. I think I am somewhat of a collector/roster builder. I go around doing the dailies but I also like buying pets just for their looks. I watched hazelnutty on youtube last night. I think I will focus on doing the expeditions when I have time to get all the pets that come from that. Then I will go back and do old raids like Eekwibble suggested.
They seem to have expected some things, though, see adding pets with aquatic damage (gun and ooze) aswell as a resistant cockroach to stop us from cheesing everything with elementals. Yet, a fact their damage output is low combined with shields not checking for racial damage means this mechanic prevents a lot as you mentioned. The last boss has got an ability to remove basic shields so perhaps that was not in oblivion either… unlike the reactive damage. Also, an ability that forces swap altogether with an ability which prevents from being swapped, including critters? I can't say I like it.
Each battle that you win will yield experience for each pet that participated. However, deceased companions will not receive any experience (so make an effort to keep them alive by swaping in a different pet). Experience gains are based on your pet's level compared to the wild pet. Defeating a higher level opponent will grant more experience than a much lower level one, but be ready for a tough fight!