They will not run away, they have a strong sense of home (where the food and safety are). I've never had a goose or a chicken take off for vistas unknown, not even a guineafowl, and they are notorious for rehoming themselves where ever.
TennesseeTruly is right, absolutely. They are easy snacks for just about anything. Probably the reason they hate their pen is because YOU are not in it with them. They instinctually don't feel safe unless their parents are close at hand (you). As they get older, that goes away. I doubt they want out of their pen to roam, they just don't want to be away from you.