I'm guessing that she takes off bc she has been penned up in a little space and wants to get out and strech her legs. I've know quite a few people who have had big dogs that they've kept in kennels and as soon as they would let them out they would bolt. We would keep our big dog running loose in our yard (we have an underground fence) and when ever we would take her out of the yard she would stay right by us. I'm quessing the same will go with your pup.
We let ours run the living room, dining room and kitchen. Of coarse we make sure there is nothing for them to chew on and then shut all the bedroom and bathroom doors. They would run around for a little bit, but after they had checked everything out, they would just be content on laying down and napping. I say let her roam eventually she will slow down when everything isn't new to her anymore. Save the play pen for at night.
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