I just came across an old post from Jeff confirming there’s no penalty for leaving a quick play game at the hero select screen. I will no longer force myself to play Paris 
Just for clarity, you can leave without penalty while the pre-game ‘Assemble Heroes’ countdown is still on screen.
Once the countdown ends, you’ll be penalised if you leave - even if you haven’t selected a hero yet.
I use this to escape Paris and HLC 