You can easily make a program unkillable (or to be more precise untermable) on Linux. Here's a simple bash script that will do that.

#!/bin/bash                                                                                                     function finish {
  while true
  do                                                              
    echo "Can't kill me."                                   
    sleep 10                                        
  done                                            
}                                                                                                               trap finish EXIT                                        
trap finish TERM                                        
trap finish INT                                                                                                 

while true                                              
do                                                              
  echo "Still alive."                                     
  sleep 10                                        
done

League of Legends captures and discards the ALT-F4 keystroke combination.

Microsoft trusts app developers to use Microsoft's standards (such as terminating the process when a close message is received) and they shouldn't. App developers like Riot have taken advantage of this trust and tuned their apps to act differently than expected, and include code which makes the app minimize to the system tray instead, or force the user to answer questions ("Are you SURE you want to close?"), or do nothing at all.

It should be punishable by death.