I've heard they tend to move about a lot when running, especially if you have a heavier sidearm in them. Then again, I've always used a belt mounted holster so I have no 1st hand experience with drop leg
Drop leg holsters need to be worn properly to not wobble about. ie NOT round your knees and tight enough to grip your leg properly. Also - the cheap "universal" style ones can be a bit "one size fits nothing".
Depends on the size of your gun but I've had no issues with mine that I picked up for £10. Like Lozart said: needs to be properly fitted in order for it to work properly.