This Vision was created at the same time as the Hex and as is the same as with the boys he has been tied into its fabric. He simply cannot exist outside of it without breaking down. Agnes explains this briefly when talking about the boys.
Agnes: Now, do you see? You tied your family to this twisted world, and now one can't exist without the other.
WandaVision, Season 1 Episode 9, “The Series Finale”
However, the body armour that Monica was wearing existed outside of the Hex and was only re-written upon entry to be the dress. That is why it can leave, it is not tied into the reality of the Hex but rather was altered to match it.
Monica: Those pants are 87% Kevlar. It's not an illusion. Wanda is rewriting reality.
Monica: If she can change things as they go into the Hex...
WandaVision, Season 1 Episode 5, “On a Very Special Episode...”