Note: This isn't "really" a quest (or subquest or side quest), as it doesn't show up in your Journal, as all good quests do. It is initiated via dialog, like a quest, but lacks clearly defined goals and tangible rewards.
Here you will be given temporary control over 5 companions, giving you a full party of 6 to lead.
Obe the illusionist will create harmelss monsters for you to practice fighting against. Every few turns he will interrupt and ask if you wish to continue; at this point you can choose to stop training and leave the cellars. After a certain amount of turns he will teleport you back out without asking. Obe's excuse is that his illusions begin to get real if he's been conjuring for too long without a break.
This exercise bears no material rewards (you do not even gain experience points for the kills) but helps you to understand how to make multiple players work as a team when fighting monsters.
You cannot bring any of the items from these characters outside the Storage Cellars.