The AirPods Pro generally stay in the ears well when running. They are so light (5.4g each) and comfortable that they can give the impression of not being secure, but they refuse to budge in action. Some people may manage to shake them loose, but they are much more secure in place than the original AirPods. Third-party fins/hooks(opens in new tab) that make the fit even more secure are also now fairly widely available and have been tried and liked by members of the review team.
Apple supplies just three pairs of tips, with two of those hidden beneath a flap at the bottom of the box. The message here is that the pre-attached, medium-sized pair should fit most, and you should only dabble with the others if there’s an issue.