Pyrex will break if the Pyrex is dropped hard enough.
However when Pyrex does break it doesn't shatter and leave shards of glass everywhere but instead when Pyrex breaks the Pyrex leaves cubes and chunks of glass and not shattered glass.
So it's safer if you do break the Pyrex.
I have had a Pyrex dish drop and not break and then again I had another Pyrex dish drop and break apart.
So yes the Pyrex can indeed break when you drop it but then again it may not as it just depends on how hard the Pyrex drops and how hard the surface is that the Pyrex drops onto is.
So be careful to do your best to not drop the Pyrex otherwise it can break.