All children develop at different rates. Though your daughter could understand that she shoudn't run away from you, it's still not developmentally appropriate to expect your son to have the same skills at age 2.
My concern is that you could spend all the time teaching him the importance of not running away, but there's no guarantee that he will always follow the rules. He is only two, and just one excited moment where forgets what you taught him could end with disaster.
When my son was two, he always ran from me. My solution was to never have him in a dangerous situation unrestrained. Despite the fact that he was around 35 pounds, I carried him frequently because he would not hold my hand. I also strapped him inthe stroller a lot.
Now he is three and he does not run away from me and he willingly holds my hand. He just needed more time to develop that undestanding. I could have punished him at age two to make him follow rules most of the time, but it seemed much easier to me to accept his developmental stage. Now he understands the rules, and we skipped the drama.
You can teach your child to fear punishment, but you can't teach him to understand the dangers of his actions until he is developmentally ready to do it.