I think, although I have nothing more than what I've observed to go on, getting out of the rain is learned, usually from mum as @Granitestater implies. I think you will have to teach them.
Getting soaked normally isn't a problem for a chicken in their natural habitat because jungles are warm. It's wet and cold that causes problems. While the chicks are growing proper feathers the mums here will shelter them when it rains. As they get older mum leads them to shelter. So, I think it may be learned behaviour rather than instinctive to take shelter.
Getting soaked normally isn't a problem for a chicken in their natural habitat because jungles are warm. It's wet and cold that causes problems. While the chicks are growing proper feathers the mums here will shelter them when it rains. As they get older mum leads them to shelter. So, I think it may be learned behaviour rather than instinctive to take shelter.