Yes! This is a business that provides entertainment they have exits and you can leave whenever you like. The place we were in was a 1 bedroom apartment. It was the scary room so I wouldn't suggest you do that one first.
There is an operator listening/watching, you're completely safe in the event of an emergency and can expect help should you ask for it.
If memory serves, there is an emergency exit or a means of getting out if there was an emergency. You can also ask for hints if you get on a puzzle.
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