CO2 may or may not escape. That is dependent on many things, and no one could know without seeing the unit in question.
As to why, first, pressure has an effect on fermentation, which is why fermenters are never - and should never - be fully sealed. Secondly, a tightly sealing fridge could be popped open by building pressure, leaving you without the control you want.
If you run a probe cable into it, that may leave enough of a gap.