You can bury the air tanks too and avoid most of the danger, but that's expensive and makes them harder to maintain. The big advantage of flywheels is that when they fail you know the energy will be discharged in a particular plane. You can orient them such that nothing vital is in that plane (like your house!). With compressed air all bets are off.

SCUBA tanks have a "burst-disk" or a weaker part of the tank that is designed to fail first, rather than the whole thing exploding and launching shrapnel. It's still violent and can throw some shrapnel, but it's much less. Also when SCUBA shops fill tanks they usually put them into a container that would somewhat contain that.

I imagine something similar could be done. It's not like there are zero safety mechanisms with compressed air.

A berm would split the difference for cost and maintenance.