Yes, if this prison were anything like the one at the basement of the castle, then I would want to escape as well. That prison is meant to be one where criminals are incarcerated, then let go after a short period of time. It's a system where they want them to dislike it there so they never return, thus hoping their behavior changes as a result.
[But also said prison is obviously pretty easy to break out of, considering Yuri's experiences, though she's quite grateful for his break out...]