Yes, I would shut them in. Mine will stay in their shed AND have access to the run but their run is not only securely fastened to the shed, it's also underwired and held in place by about a foot of turf :lol:.
I've checked the direction of the wind and if any branches or trees come down, it will all fall away from the shed. If it gets too bad in the middle of the night, they'll come into the garage/utility room.