Yeah, that was odd. I mean, we aren't supposed to be able to physically go in there... so coming out of it would normally mean just waking up. So maybe we literally got sucked in there physically some how and that's why we didn't turn into one of those char-grilled corpses.
Which is why I can possibly forgive Cass being all Princess Stabbity up in the Inquisitor's grill, she's been reading far too much about these types of possessions recently and seeing someone walk out of the Fade (which is supposedly impossible, but so is it tearing open, so what do we know?) would be bound to make her want to just nip a potential Anders in the bud.
But you might be onto something, maybe we survived because we were pulled in as the first demon came out and breached the veil, a sort of magical conservation of mass and all that jazz?