ALT+F4 is generally ok to shut down a program. The main issue is that doing so will close the active window. If you interrupt the game while it is saving you may corrupt your save file. So you just need to make sure the game is done saving before you quit. This isn't really an issue for game that you save yourself by pausing and selecting "save" from the menu. But some games have "autosaving". They will automatically save your game as you're playing. If you ALT-F4 during one of those save processes you very well may corrupt your save data. 

Usually games that have "autosave" will have an icon that appears in the corner of the screen somewhere to let you know it's saving. Most loading screens will tell you "Do not turn off or exit the game when you see this icon".

Here's a couple example of games telling you about their autosave icons:
[![Autosave Loading Screen 1][1]][1]

[![Autosave Loading Screen 2][2]][2]


  [1]: https://i.sstatic.net/HEI5U.png
  [2]: https://i.sstatic.net/WWkoV.jpg