It isn't actually necessary to enter the Nether to get the 'We Need to Go Deeper' advancement.

What I expected to happen was...:
I expected to have to actually go to the Nether (the Hell biome) to get the advancement.

What actually happened was...:
I got the advancement by simply lighting the portal, stepping in, and stepping out before I was transported.

Steps to Reproduce:
1. Activate your first Nether portal.
2. Step in, then back out before you're taken to the Nether.