I THINK it's because your character still remains in the game for a while after you alt-F4 and enemies can kill it.. I think ppl have been 2nd-clienting themselves exactly because of that reason, with alt-F4 character remains in a game for a while idling in a spot, but with 2nd-client he disappear instantly and can't be killed... But not sure, never really tried any of those.. At least when I'm on 2 character and alt-F4 on one, I can still see him in front of me and still online on another character for another 30 seconds or so