It depends on whether the game says "please". I don't tolerate any attitude from my games. Come at me with a "Saving... do not turn off" and you better hope you're done before I've yanked the power cable out.
A lot of games put up a warning telling you not to do it. I was just joking around.
What they really should tell you is not to alt-tab when the game is saving. Can't begin to count the number of times a game has crashed on me when I alt-tabbed--not while it was saving, just in general.