I use a round pen to exercise all of mine and I have never had a problem. At shows we lunge them on a line out about 20' so a 40' circle. I have never had a problem with them.
On a side note, I never leave halters on mine. They only wear them when I am working with them. There is always a chance they can get hung up on something or even their own foot when scratching an ear or the like. There is also a danger of a pasture mate getting a jaw hung up in a pal's halter. The scenarios are endless if you think about it, even my hard to catch ones never wear halters unless they are in my hand, tied up or on the hot walker. That is just my two cents worth.
They certainly are like potato chips you can't have just one. I have seven now! Would like to have two foals next year, and I have two that are moving to new homes this spring when the weather has cleared on the passes.