People have a different stride and strike action of the road than they do on a treadmill.
Treadmill runners tend to propel themselves upwards rather than forward, road running tends to work the leg muscles more due to undulations in the surface and propelling yourself forward takes more effort. Of course, injury can be an issue running outdoors due to uneven surfaces, so make sure you get some decent shoes.
Still, HIIT is much easier on a treadmill because you can force yourself to go a certain speed, bit tricky on the road!
I can not run in a gym. Get super bored, but can run for ages outside. Just feels better.