You can't do certain quests if you aren't aligned with a city. The Shadow Odyssey, Qeynos Claymore, and I believe certain epics (Berserker epic I know has a good and an evil version). You also don't have access to faction-based mounts.
The fact that Heirloom is explicitly for the Shared Bank, and that Exiles do not get the Shared Bank at all, should be a clue that if you want this feature you need to return to the city.
Working as intended.