I wonder if there are exceptions to this rule in war zones where one's life is at stake.

Anecdote: Yes, errant gun fire and far off explosions stopped making the hair on the back of our neck stand up during deployment, but we always waited for the controlled detonation signal or confirmation if the area where small arms fire was happening. It's possible that my perspective didn't match the general sentiment of the unit. It still seemed like there wasn't much complacency.

And one of the times where the explosions weren't controlled detonations, the reaction force was mounted and moving to location in the standard allotted time.

In Israel when we hear the color red alarm some people run outside to watch iron dome shoot down the missile.

How well does the iron dome work? I assume it works pretty well if it's a spectacle.