Alt + F4 does not fail to quit the terminal window where Vim is running in if that shortcut is configured so. But if that terminal has other things going on in it, they'll be closed as well. It's like demolishing a house to undo some text written on a fridge note, albeit exaggerated.
If Vim is not running in a terminal window, then that shortcut will indeed fail and users without knowledge of the commands below become stuck, sometimes to the point of a hard reboot.

Vim Cheat Sheet

:wq or :x or ZZ - write (save) and quit
:q - quit (fails if there are unsaved changes)
:q! or ZQ - quit and throw away unsaved changes
:wqa - write (save) and quit on all tabs

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