yes it's possible (should point out that I haven't watched the programme but I am a scuba diver and free diver so I have an idea what you're on about)
at deep pressures the 'divers' are fully saturated according to the depth of the bell so yes they would have to decompress but that is the case whether you're in the station with or without the wet exit
your hand wouldn't be crushed because the water pressure is the same as the air pressure
Ever seen that film The Abyss? there is a wet exit chamber in that
(The Abyss is a rare example of a film that's scientifically accurate with the diving bits, a very respected commercial diver named Richard Bull was the consultant on that film, the bit where he fills his lungs with fluid isn't accurate because although i';s been done with mice it hasn't with humans, course the bit with the aliens is total balls but hey)