In a boat, your worst enemy is fire. Jumping into the water is not always an advisable alternative. Fighting the fire, even if you are left with a burnt out floating hulk, can be preferable to hopping in the drink. Hypothermia, drowning and marine life can all cause problems.
In a car, I would think it is a good idea, but more so for the other guy. If I have evacuated my vehicle and its occupants are safe, I say let it burn. That's why I pay insurance. I would rather wait for the settlement check at home than in the burn ward undergoing skin grafts.