My company SOP:
Daytime VMC: No short cuts below MSA during the climb.(I was told it's due to poorer visibility during the climb, and if you had an engine failure below the MSA and your not on an airway/SID which have a certain terrain clearance margin you might be in a spot of bother.) In the descent below MSA it's not a problem as long as you can maintain VMC and don't hit anything!
Nighttime VMC: No directs below MSA in climb or descent.
Of course if we are given radar vectors it's not a problem.