We get a lot of strong storms in our area, complete with hail, 60 mph winds, lightning, and the occasional low grade tornado. This happens frequently on hot summer afternoons and overnight.
If my horses had free access to shelter, I'd leave them out and not worry about it. It's one of those things where freak accidents happen. If you spend your life worrying about what could happen, you'll never get any sleep. And if a horse has access to shelter, they are generally smart enough to know when they should use it.
I have, however, always had my horses either at a boarding stable, or on my grandparent's farm where there was a stable but no run-in shelters. Summer turnout would just depend on the weather. A normal day would have the horses turned out in the wee hours of morning (before dawn) and then brought in once it got really hot and buggy and a threat of storms rolled in. If the weather was more mild or there wasn't any chance for storms, they'd stay out longer, but that's the general routine.
I am well aware that lightning can strike a barn, and that no one is 100% safe no matter where they are in a lightning storm, but I'd much rather have my horse in a grounded stable, with walls, to shelter them from hail and flying debris, than being the tallest object standing out in an open field, and being pelted with hail and spooked by flying debris.
I spent 5 years working in a veterinary laboratory and we received several horses that died from lighting strike. All of them had been outside when struck. I've never known a horse to be struck while stabled, and I've never heard of any local barn being destroyed by lightning. When I was younger, there was a boarding stable that left a bunch of horses outside in a storm. Six horses were struck and killed with one lightning strike because they were all standing close together in an open field.
It's also not unusual to find some loose horses or cattle wandering around my area after a particularly severe storm, because animals can be spooked by the wind and whatever is being carried on it. Horses and cattle alike have been known to run through or jump over fences to get away from what's spooking them or to find shelter. Granted, pastures with low or weak fences are more likely to let animals loose, but I find my horses are much calmer if they are inside, sheltered from the wind, than standing out in it.
So based of off my own observations and personal experiences I will bring my horse into a stall, if they have one, and if I know there might be storms rolling in.