It was never a common technique, and you only need concern yourself with it if you are suddenly being presented with a window or pop-up window that's coming up from nowhere and has no connection to anything you were doing. I don't know if there's a connection between the context menu that allows you to exit and the "Red X" exit at the upper right corner of the screen.
Seriously, if you keep your browsing hygiene even reasonably good none of these things will need to matter to you. While it's always good to know what you need to do if "the worst" happens, "the worst" seldom happens unless you're being careless to begin with.
I honestly can't remember the last time the antivirus on any of my computers quarantined anything or any of the other antispyware or antimalware programs found anything, either. I am not nearly as stringent or assiduous as some others are, as I've already noted. I am of the computing attitude, "An ounce of prevention is worth a pound of cure." The metaphorical ounce of prevention is not difficult to do on a consistent basis.
I've recently posted on how to disable protected view in Microsoft Office programs. There have been times where there have been howls of protest that one simply can't and shouldn't do that. I make a note that you should do this with the proviso that you are watchful about precisely what MS-Office files you're willing to open based on knowing who and where they came from. If you know your stuff is coming from people you trust, they have security suites on their computers, it's being routed through an e-mail provider or cloud storage provider that virus scans everything, and you have your antivirus set up to scan anything you download before it gets saved on your machine then, really, how big a risk are you taking?
Brian, who believes it's about reasonable precautions, not "Cyber Fortress"