I don't get to do raids very often; therefore, it is hard to achieve the maximum level. It would be comparable to have story missions in the land of Xür with exotic class items that allow for equipping multiple exotic items.
Have Xür be from a different dimension where the physics are weird: walking on walls and ceilings and the such with reverse gravity that pushes away from a central point. I don't know, but let the imagination run wild like Alice in Wonderland except with a lot of explosions.
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Xur isn't from another dimension, he's from the outer planets, where the Nine live. Those tentacles are caused by Darkness-exposure, similar to the change in the Awoken.