Yep, I've heard of this too from 2 people in our club. One has actually done this during a competition because he was forced to. I don't remember the whole story exactly but something happened to the leash and he couldn't stop in the middle of the track to go get another so continued on without the leash.
I met Fabian Robinson this weekend and he does the same thing with his dog. However...he probably won't be doing it anymore! Ay Nationals at a turn the dog picked up the judges track and started following it. He thinks he could have prevented it if the dog was on a line. Ooops.
He said that the judge was petting his dog right before they went...I told him that he was just following the scent of that nice lady who gave him some lovin'.