Alt-F4 does not work.
This is great for trolls... but BAD for buggy mods.
Every once in a while a badly coded mod gets published and requires the player to use Alt-F4 to exit to desktop.
Users might be able to get Task manager open with Ctrl-Shift-ESC but I wouldn't rely on that if the game locks the cursor to the primary display and it pops up on another monitor. A lot of gamers have 2 monitors... some have 4+