Having a blanket policy on not walking out of interviews is ridiculous. The manner in which one walks out makes all the difference. The rockstar you mentioned probably walked out the wrong way. Namely sulking, pouting and not saying anything. The right way is to be polite, clear and concise. It's exactly what the company does when they think it's not working out.
Think about this from an employer's perspective. Someone cutting the interview short actually piques my interest. This is especially true if they pass all the technical interviews. I'd probably follow-up with them and see if they were interested in contract or part-time work. On the other hand I don't look too highly upon candidates that just sit through all the interviews by default. I want someone who will speak up, be confident etc.