Ah! I understand the pen now! Cage or pen, I would contain the dead prey in it so the ferrets cannot stash it elsewhere. But I still recommend using a container or tub for training them to eat live prey first. Maybe a container in the pen. Plus a container/tub allows the ferrets to focus in on the live prey. It gives them limited space for less distractions. (<-- at least until they learn how to eat the prey)
My ferrets were free roam too until they would get up and cause trouble in the middle of the night. Now, I only cage them at night and when I'm not home. My boys take naps in my bed with me, but my female is really independent and would rather sleep in the cage.
It's no different than sleeping with a dog or cat. Ferrets love to cuddle. haha.