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The Sanctum Depths are a section of the Arcway behind the lower floor of the Sanctum of Order that was exposed by a breach at some point. It serves as the entrance to the Arcway and the Nighthold.
The guards are on "high alert" and can see through stealth and the Masquerade disguise.
Given that the breach is already explored by the player in preceding quests, yet is treated as a major revelation, the entrance to the Arcway may have been elsewhere at some point, such as near Felsoul Hold where an uninstanced version of the Fel Breach can be entered.