If the fire station is located on a busy road or near a blind curve, turning on the siren when exiting might be a good policy. Out on a county road with good sight lines and low traffic? They can wait until they're going at a hazardous speed or intersection.
My main concern would be all of the communications equipment they typically have. Being that close to high powered transmitters can cause annoying interference.
Not just a good policy -- my wife is a former EMT & firefighter in MN, and at least there, apparently it's the law that fire trucks blast their horns at every intersection. Whether this is required when they leave the fire hall and turn onto the first road, I don't know.
My main concern would be all of the communications equipment they typically have. Being that close to high powered transmitters can cause annoying interference.