Ok, let me see if we are on the same page.
Please correct me if I'm wrong here.
You are having a cage, and the playpen separate? Two totally separate structures with different purposes?
Size may be an issue in your room.
Ok going off those assumptions here is my input.
You are somewhat at a disadvantage because you don't know what personality you will be dealing with, and what your starting point is as far as personality and how he/she will do with handling.
The very best play areas are ones with us in it. I use two different methods at my house, depending on what I feel like doing. I will either construct a hedgehog fort out of walls, corners, couch cushions, pillows, random furniture, or basically what I feel like dragging out that day. The other play area is my bed. Both can fit me well. If I'm dealing with a hedgehog that's more comfortable with handling, they are happy to climb around on me and through clothing. Ones that would rather not be messed with get more comfortable being in an area with me without much pressure. We sort of coexist together.
With a playpen, it's basically a second cage. I have no intention of testing the weight limit of a playpen by climbing into one.
It does eliminate some of the issues of most small animal playpens, they are generally easy to escape and give a person a false sense of security.
Lillysmommy mentioned the issue of reaching in and out the playpen. That is an issue when you consider the fact that your hedgehog may not want picked up when you say it's time to pick it up.
If you are getting a new playpen this isn't an issue. But if you are getting one used before, babies are nasty creatures. They spit up because the sky is blue, the wind is blowing, someone moved wrong, or Venus is aligned a certain way. They poop behind their diapers. They sweat. Playpens take a lot of abuse. This is where the cleaning comes into play. Really hard to get some of the baby funk out of them. I used to take mine to the car wash to clean it.
Just as we say cages need to be escape proof, the playpen needs to be escaped animal proof. To be on the safe side, you might want to still take the other animals into consideration. If not I highly recommend the 2 door rule. Dogs, cats and pig would be behind 2 closed doors while your playing with your hedgehog. One door could be pushed open or accidentally opened.