The correct answer is, it depends.
In an urban setting with lots of people and other stuff that you don't want to hit, you probably don't want an exit if you can prevent it. Even at that, be sure of your backstop before you shoot, since there's no guarantees.
In a rural setting, it may not matter as much.
But keep in mind that the steel shot in that other post was shot with FMJ ammo. It shows the possibilities, but not many carry FMJ ammo for defensive use...other than military.
The best way to limit (or increase) penetration is by choosing the correct bullet for your needs.
Daryl