Not really. I'd rather they did it before I got in a fight. If we enter together and then they go out, it is usually a problem like their friend didn't make it in, and I'll go out too, to see if that was it. If the person belatedly realizes they don't have time to finish the dungeon, I'd rather know that sooner than later. If it is someone who prefers doing dungeons solo all the time, it probably wouldn't be much fun being stuck in one with a guy with a bad attitude. Some dungeons can be set up to not let you port back to your friends if you leave them (like to refill health). If it is one of those, the only way to rejoin friends is to enter solo through the door. I'm not sure if Pirate has any of those yet, but Wizard101 does.
It does bother me if I'm deep into a long dungeon and someone leaves the fight without even a, "Sorry, I have to go."