You're doing the right thing. I leave Brandi in her ex-pen (4x4 mesh with a top and bottom)whenever I leave the house as well. It protects her and my carpets
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I have to admit she hates being in there but there so many things that she can get into when I am not there. For the most part she does sleep but in between naps, she is constantly looking for ways to escape. It's kind of funny actually because you would of thought she given up by now.
While Brandi does have toys, she doesn't play with them. This could be the result of her previous life before me so not even toys will occuppy her.
She doesn't have separation anxiety as she usually goes to sleep as soon as I leave. I have a webcam on her so I can see what she's doing. So I would say don't worry about what others think. You are doing what's best for your puppy.