I think much of this has already been said, but here is my version FWIW:
In any voltage regulating circuit I have worked on, the sense terminal is just a passive input, and therefore in the case of a car alternator, connection to the switched ignition circuit should not maintain the voltage (unless there is another low impedance path); therefore the engine should not continue to run on.
Having said that, it is inadvisable to connect it there (or any other switched place) anyway as the alternator's output (B+) will go 'out of control' when the sense is diconnected from the alternator, possibly causing the alternator to burn out.
Sense terminals are designed to be connected to a remote point along the main supply wire where all the other circuits (fused and unfused) are 'star connected from it, eg the fuse box or starter solenoid live side. This remote point is then maintained close to the specified voltage (around 14V) regardless of load, and is ideal as a stable supply for critical loads such as headlight bulbs etc.
If the sense wire is connected directly to the B+, the voltage will be lower as you move along the battery/main supply wire, but this effect can be minimised by using a heavy duty (large cross section) cable conductor.