I tend to agree that the person I was responding to was probably exaggerating the risk, although if you've just spun the car into a field, it's buried in deep snow, and you've got a known leaky exhaust, it couldn't hurt. The "leaky exhaust" part is tricky: I had a friend once whose car's exhaust (and everything else) was so rusty you wouldn't want to sit in it when it was stationary. It was almost comically dangerous the way the car would fill with exhaust smoke.

The value of getting out and clearing the top of the car is very great regardless. A vehicle is much more recognizable as a vehicle when it's not covered with snow.