Sakuya and Youmu go out in the canon all the time, not just in the shooter games but in the print works, too. Sometimes of their own accord and sometimes because they were ordered to.
Meiling, when I think about it, has NEVER left the SDM in any print work or game. My memory could be off but I can't think of a single case in the canon where she was not on SDM grounds, even as a cameo.
Ran is supposed to only act on Yukari's orders, which possibly limits what actions she can take. Of course, it's explicitly pointed out that she sometimes goes out on her own anyways (both in Perfect Cherry Blossom and BAiJR) but in general it's rare to see her out and about (but not unheard of) yet even rarer for her to take significant action on her own initiative (again, because she's not allowed to, unlike Sakuya and Youmu who appear to have a LOT of freedom). It wouldn't be impossible for Ran though.
It's just Meiling who, again, I can't recall ever being off the SDM grounds in any official source. I'm not saying she can't, but... there isn't any proof that she either can or will, either, what with her... well, never actually being seen off of them.