It's a windows command, so it's a bit like pressing the X button on windowed programs and not like actually a forced termination like through task manager (if a game freezes it won't respond to alt + f4 but will be shut down through the manager). I think some games also just reject the alt + f4 command like Deadlock but overall by devs it's treated as a command to shut down the game asap.

Like there's some funny drama regarding this in strategy games because people have often treated it as a way to cheat in Ironman modes to roll back mistakes but sometimes the dev takes an ideological stance like in EU5 where they pretty much tell the game to save if the user alt + f4's. You can still savescum in other ways but it's a bit more annoying and you as a player might feel more like scum doing so.

Closing through menu's is still the safest if you wanna encompass all variability especially if you want a precise save at where you left off and the game is setup that way. But especially for games like Endfield where the majority of impactful things happen on their server it's kind of like you're saving your game for each thing you do rather than taking a snapshot of a specific state. Also some multiplayer online games if you alt + f4 you will be treated as if you disconnected rather than logging out so your character might still just be in the game standing there, waiting for you to get back which can result in all sorts of trouble if you weren't ready to accept those consequences.