This extends to quitting out to the XMB/home screen/dashboard/whatever for console games too. Two of my console runs do this. In one case it's accepted without question, in the other it's generally accepted but not everyone really likes it.
It's essentially saving and quitting/console reset, isn't it? Generally, that's allowed as long as you keep the timer running.
It's not exactly Alt-F4ing, but resetting the console is actually a required action for getting the Harvest King photo in the Harvest Moon 64 All Photos run, and it's required to access the phantom greenhouse after attending a festival. As long as the timer keeps running, it's all fair game.
¤taking from NFS Carbon¤ we usually alt-f4 if we get into cop chases as you will lose more time escaping the cops than you would just alt-f4ing the game
Honestly, I think that's one of the things that makes watching runs interesting; seeing people not restrict themselves to the intended paradigm created by the developers. But I've always been a sucker for those kinds of stories; the ones where people find creative solutions to get out of a bind that may have seemed impossible with the normal approach.
... I like to think that we're all more like air- and water- benders.
This all, 100%, depends on the game and the individual run's rules. For example, I can't imagine any NoSQ runs have any clause where you're allowed to close out completely. And the ones that don't have a clause will probably reject you even if it's bypassing the normal way of saving and quitting. You're better off asking the community of your game if it's good for the specific thing you're trying to do rather than asking in general terms to the community.
Also, it definitely doesn't make your run segmented since no one's covered that topic.
Segmented runs are where you take a small section of a game and run that small section over and over until you get the best time you can, then you save that. Then you do the next section and so on until you can splice all the saved footage together to create one full run's worth of footage of the best play you could pull off. There may be additional rules that apply per game about what is allowed or not. It's not so dissimilar from TASing something, just on a smaller scale. Bigger sections of play done at once instead of everything being done frame by frame.