Well, it kinda depended on the CPU. And then sometimes the motherboard.
On the Intel side, P3s had a pin on Socket 370 to signal an immediate halt/shutdown. You could probably still damage the CPU, and I'm willing to bet a lot of the cheaper motherboards wouldn't respect it. But plenty did, since S370 needed other changes to support Coppermine anyway.
On the AMD Side, Athlon XPs and Morgan Durons did add a safety mechanism similar to the Pentium 3, but since the Thunderbird and Spitfire Durons did not, it was far far less supported.