My feeling is that generally when the surfer leaves the site, he left the site and I don't look too hard. However, if an exit link gets tested and I can't get back to the main site, I would be slightly peeved.
I do look at the exit links, mostly to make sure they really exit / go somewhere else. I don't want to see exit links going to a list of porn sites or to a hardcore movie or whatever.
In the end, if your sponsors or exit link or whatever severely mousetraps people, you may find your sites declined even if you have broken no particular rules... just that you pissed off the reviewer!
Alex