You've just introduced your hedgehog to a nice new big pen and all of a
sudden it's like he's going crazy, running madly around the cage, trying to
get out of every little nook and cranny, and generally driving you up the
wall.  Yes, this is quite normal (for the hedgehog -- you being up the wall,
I can't comment on).

Hedgehogs appear to do this when they get into a new environment, and will
usually settle down in a while, once they decide that (a) they can't actually
get out (which given the slightest chance, they will), and (b) they have
decided this is now home.  Some hedgehogs will literally climb the walls just
to check whether you remembered a roof or not.  My Pocus was a fine example
of this.  She would climb anything, anywhere, anytime, to any height.

Some things you can do to reduce the chaos and chances of reoccurrence are to
provide a familiar nest or burrow for your little beast, and to install a
wheel for exercise [5.6], [5.7] (all that energy is pretty normal in
hedgehogs -- scary, huh?).  Lots of active play times can help too.

One other answer here is to simply enjoy the fact that you have a healthy,
energetic hedgehog.