The cutscene shows Nightcrawler, attacking Doom's robotic minions before succumbing to an electrical wall. Then Dr Doom ordering his robots to take him in.
Sanctum Sancotorum is Dr Strange's medieval headquarters. Before you go to where Nick Fury is, pick up the orb and when you get there, you put the orb where the mirror is. If you're Dr Strange or Deadpool, you get a different dialogue. Also, only Dr Strange can go into the room he's allowed to go in and has a unique dialogue with Wong.
Nick Fury's reason to go to this place because since it involves Loki, that also involves magic. He also believes he found where Dr Doom is located and asked your team to be there.
A few sidequests involve Iron Vision security module given to Weasel and get the book upstairs for Vision to use.
Lastly, only if you change to Dr Strange, you can access the room you can't get into. Once you are done exploring, go to the orb to teleport you there.