I'm going to give the unpopular but practical answer that it's always wrong to free memory unless doing so will reduce the memory usage of your program. For instance a program that makes a single allocation or series of allocations to load the dataset it will use for its entire lifetime has no need to free anything. In the more common case of a large program with very dynamic memory requirements (think of a web browser), you should obviously free memory you're no longer using as soon as you can (for instance closing a tab/document/etc.), but there's no reason to free anything when the user selects clicks "exit", and doing so is actually harmful to the user experience.
Why? Freeing memory requires touching memory. Even if your system's malloc implementation happens not to store metadata adjacent to the allocated memory blocks, you're likely going to be walking recursive structures just to find all the pointers you need to free.
Now, suppose your program has worked with a large volume of data, but hasn't touched most of it for a while (again, web browser is a great example). If the user is running a lot of apps, a good portion of that data has likely been swapped to disk. If you just exit(0) or return from main, it exits instantly. Great user experience. If you go to the trouble of trying to free everything, you may spend 5 seconds or more swapping all the data back in, only to throw it away immediately after that. Waste of user's time. Waste of laptop's battery life. Waste of wear on the hard disk.
This is not just theoretical. Whenever I find myself with too many apps loaded and the disk starts thrashing, I don't even consider clicking "exit". I get to a terminal as fast as I can and type killall -9 ... because I know "exit" will just make it worse.
