Think of it this way - If something really, really critically serious comes through, you want them in the field. You want them to be able to run away from a twister, or not be under a falling roof, bashed by branches. While they may not be comfy, it sure beats being nonexistent. I am terrified of twisters, (actually have Lilapsophobia) so I feel your pain :/
I don't think that I could ever live somewhere they have twisters, the thought terrifies me, I'm used to the UK and moderate weather so even New England has been a huge change for us and our horses. I'm one of these people who likes to have a 'plan' and when I weighed up the options for coping with a twister then being outside seemed as good a place as anywhere could be and better than the chances of being crushed under the roof of a barn.