i've had them dart in the rocks when i walked by, but after a couple weeks and feeding regularly, they should feel a little better about staying out. do they come out when you feed? have you seen them eat?
just because you add non-threatening tank mates, doesn't mean the fish will not be stressed. most of the livestock we purchase is plucked right from the ocean and put into small cubes and stared at by giant "monsters" who put their hands in the tank from time to time. when you think of it that way, you can't really blame them.