That would make for a very boring tv show.
My guess is that physically travelling off the island is not exactly what UnLocke means by "leaving the Island." There is probably some metaphysical element to the whole deal, especially since we haven't found out what "the Rules" are.
Plus, as we saw in "Par Avion," it's incredibly easy to simply climb over the top of the fence and avoid its effects entirely. Presumably, the Man In Black could do so as well, if he really wanted to.