Yes, it depends on the loop. If the loop has reason to be a full message handler then it is probably wise to add a "shutdown" command. But a small, simple, low-level loop with limited responsibilities shouldn't sacrifice its simplicity just to support a shutdown message.
For example, if I had a TCP server, I would likely have a loop that just waited for incoming data on the TCP connection, interpreted it as messages, and put the messages on a queue. Establishing, reestablishing, or closing the connection is not its responsibility. If the connection dies, it shuts down and passes the error out. Higher-level code can restart this loop if it decides it. Adding a message queue, and introducing polling to monitor this queue, is needless complexity.
-- James
