I used to worry about it at our old house, as everything was double glazed and the windows had locks.
Of course ds1 nicked and lost the key from his window, so we only had one key for both. I decided to keep his locked rather than unlocked as it opened over a knackered old conservatory, which would have been feck all use in a fire - he'd have probably died falling through the glass. Also he would have climbed out the window all the time.
So he slept in my bed until we moved. Mine was kept locked but the keys were nearby, on a hook.
It opened over a sort of tiled porch-roof thing, which in turn led straight onto a thick hedge so we'd have been prickled but safe. I often wanted to test it out but didn't dare in case the neighbours thought I was loopy!
Here we are in a ground floor flat and the windows are old glass, so no problem - ds1 might have slight trouble getting out of his, as it would mean climbing on the bunk bed and he might just be too panicked - but it could easily be broken from outside anyway.
I'd never live somewhere it was hard to escape from as I've always been fire-phobic. I'd have ladders if we lived higher up.
We don't have smoke alarms because I don't know where to put them, and they always go off when I am cooking. Which is bad I know.
Will they really send firemen round to tell you where to put them?