I believe you are
For thousands of years I have been well behaved
dancing and moving under their watchful gaze
For thousands of years electrical phenomena were not really thought about very deeply by humans, considered as a mere curiosity. Later humans started to exploit electricity but thought of it in terms of classical physics as a kind of relatively well-behaved fluid flowing from place to place inside of an electrical conductor. (There's probably something more specific this clue is referring to, but I'm not sure what it is at the moment.)
but secretly I embark on daring escapades
tangling with friends, slipping through blockades
An electron can exhibit quantum entanglement with other electrons, and through the mechanism of quantum tunneling can "slip through blockades" to reach behind an energy barrier into a place it could not get to under classical physical laws.
but when doubters look I am still in one place
The electron, properly understood in quantum mechanics as a wave function that simultaneously exists in many places, still has the property that whenever one looks for it by placing an experimental detection apparatus, it will only ever be observed in a specific place; mathematically speaking, its wave function "collapses" when it is observed.
Only recently have they seen through my clever charade
Our understanding of how electrons actually behave is fairly recent, dating to the discovery of Schrödinger's equation in 1925.