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Ash keeps all of his Pokémon except Pikachu in Poké Ball. Why does he give Pikachu special treatment? Can't it be dangerous?
Talking about friendship with Pikachu (so maybe he doesn't find locking up his friend pleasant), when Ash first met Pikachu, they weren't friends.
This film commemorates the 20th anniversary of the anime and takes place during the same time period as the first season. Throughout the film, Ash notes that Pikachu can’t stand going on his Poké Ball. Ash doesn’t press for why, but respects his decision and let’s him stay outside.
During the climax, Ash tells Pikachu to get in his Poké Ball while he holds off a horde of angry Pokémon (in an event reminiscent of their first day encounter with an angry flock of Spearow). Pikachu refuses and Ash asks in desperation why he doesn’t want to go into his Poké Ball.
As Ash starts to lose consciousness
he hears Pikachu speak saying: “It's pi-cause... It's because I always want to be with you...”
It’s not clear whether this is a hallucination, rainbow magic, or a representation of Ash suddenly understanding Pikachu, but there we have it straight from the electric mouses’s own mouth: Pikachu cares so much about Ash that he doesn’t want to go into his Poké Ball and stay apart from him.
Note that while this explains why Pikachu doesn’t want to go into his Poké Ball since he bonded with Ash, it doesn’t explain his refusal to go into one before then, and the movie does not provide any explanation for that.
As you say, when Ash first met Pikachu in the anime, they weren't friends. Pikachu was stand-offish towards Ash – also refusing to go into Ash's Poké Ball.
Ash's Pikachu simply doesn't seem to like being in a Poké Ball. At several other points in the series as well, Ash's Pikachu refuses to enter one, and has (to my knowledge) only done so a couple of times, when severely damaged, hurt or threatened.
The same applies to the Game Boy game Pokémon Yellow, where the main character's Pikachu (inspired by the anime) dislikes being in a Poké Ball, according to Professor Oak, and follows the player around for the entire game as long as it's in the party and not fainted.
Per Rohan Pradhan's answer on Quora,
The series begins with Ash going to Professor Oak's lab for his first ever Pokemon. Unfortunately, he reaches there last and all other Pokemons had already been taken by the trainers. So Ash had no option other than choosing Pikachu as his pokemon.
But when he tried calling Pikachu into his Pokeball, he doesn't come back inside the pokeball. Apparently, the pikachu did not like staying inside the pokeball, and neither did it like Ash in the beginning, which made it disobey him.
(This is a description of the EP001 "I Choose You!")
But Pikachu is not an exception, during the anime you can see other pokemons who are not inside their pokeballs and follow their trainers without being inside pokeballs. Example: Togepi
Pikachu did say why he didn’t want to be in the poké ball in Pokémon: I choose you. Pikachu talked for a split second and said he wanted to be with Ash and goes in his poké ball
