Now this is a first. I'm in this huge dungeon and found a door that when I clicked on it says "This house has nothing of value". The door isn't on the dungeon map and it can't be opened with pounding on it. Glitch?

Yep; that particular dungeon block always has it. I think it was a possible dungeon exit that was coded wrong.

Do you know some dungeons that use that block? I have this urge to go digging in DaggerXL and see what's in there.

I'm not 100% sure. The two dungeons I've done today are the Prison of Dunistyr and Roost of Skulrathrac, both of which are in Wayrest.