Refrigerating fudge v leaving it out
Fudge doesn't need to be refrigerated. It is candy and nothing can grow in such a high concentration of sugar.

The ambient humidity can mess with your fudge a bit if it isn't sealed. Too dry and the fudge will dry out and get crumbly on the outside. Too humid and the fudge will absorb enough water out of the air to melt. It is simple enough to tightly wrap the fudge or seal it in a container to prevent this from happening.

The firmness of fudge is not due to being left out. It is a factor of the temperature at which the fudge was cooked and the resulting sugar concentration. I imagine you could make a softer fudge and leave it uncovered in low humidity to harden it. It seems easier to simply cook it to the right temperature to begin with.