Scions of the Sky Key

There's no special benefit for playing the same character through all 3 scenarios.

Part 1 has 2 possible boons for Exchange characters.
Parts 2 and 3 have miscellaneous boons, and boons that may come in to play in other scenarios.
Part 3 has a possible boon for Grand Lodge characters.  It also grants access to a unique magic item that afaik would not be otherwise available even if you have the gold to buy it.