Yes, first walk here too!
It seems that puppies that are let off straight away and learn to follow their hoomans right away have better recall later on. If the puppy is kept on lead, it usually doesn't learn to check in with the owners and "keep in touch"... Then you let them off at six months old when they are independent and at their most difficult and all hell breaks loose...
So yes, let them off regularly - in safe areas of course. Also make sure that you call him/her back frequently, I ALWAYS give my puppy a treat for coming back until they are much older (about a year old) to really reinforce that recall and also praise the puppy for coming back and checking in with you voluntarily.
Vear