Being outside in an x-pen, if they spook from a noise they will run around – but they won’t be confined by a leash/harness, so the chance of breaking their spines is very low. A leg, maybe, if it gets caught on something (proper setup should not allow it though). Mainly, they would just be stressed.
On a leash, they spook and take off at top speed and the snap of the leash pulling them to a stop is much more likely to break something.
In an x-pen setup you can control what plants, animal matter, fertilizer etc they are around.
On a leash, they are more out in the open, you can’t clear the area first, etc.
In a x-pen you can predator proof the area with buried wire mesh, a cover, etc.
On a leash, a dog or cat or hawk can speed in and snap up the bun before you can react.
Some people do walk their rabbits. Just be aware of the risks when you do it. Even those who do agility etc with well trained rabbits that are socially used to being out and about have had rabbits die from a leash accident. There is no guarantee of safety, just safety measures you can take to reduce the risk. Whether it is worth it is up to you.