The biggest reason is safety. We move quickly from place to place and most little feet cannot keep up. It is best to keep kids in the pram as once one is out, they all want to get out! Another main reason we try to be outdoors for as much of the year as possible is to provide kids with an environment of things to see. It is also a good idea to bring toys for your child to keep them entertained.
Towards the end of class we give the kids an opportunity to join in with some running and activities. This does depend on their age and the format of each session.