I am not exactly sure what your question is. Are you asking if it is okay to let them out, or lock them up?
Budgies like any parrot can be very clumsy when flying at first because their muscles are underdeveloped and they are not familiar with the dimensions of the room when flying. For the most part, I suggest just letting them out. Like kids learning to walk, they will fall. They might even run into things. Just try to stay calm and let them get their bearings. You can try to keep things a little safer by closing blinds on windows, throwing blankets over mirrors, and even shoving pillows into cracks if you are afraid they might fall behind something.
You do not have to let them out of the cage to fly, or at all. It may not be fitting for your home and lifestyle to do this. However, I firmly believe that it is in the best interest of the bird to have exercise outside of the cage. I also don't really understand people's impulse to keep parrots and not take them out. Surely pets are for holding and playing with... and well... petting. You wouldn't keep a cat or a dog in a crate for it's whole life. Why would you do the same thing to a parrot?