I've always assumed that the reason for shutting down an engine with a chip light was to save the engine from further damage - it's an economic, not a safety, issue. If you only have one, you keep running it until you can land, which is usually not that long in a helicopter. I don't know if this is universal, but I did autorotations in both the 412 & S76 while being checked out, & do them regularly in the sim in recurrent training. Lots of fun in the sim, since you don't get hurt when you prang it really hard.
It's nice to be able to intentionally do something wrong & see what happens, without getting fired for it.