Yes you do, the moment things turn south, you sound a signal to retreat and your ally retreats likewise or tries to salvage this on their own, depending on the circumstances, but the most bizarre thing about this whole situation is, the Alliance didn't even get flanked or cut off due to the horde retreat, the legion army could literally not reach them without marching around the entire Island. The Alliance then got steamrolled by the demons they fought before and the reaper gul'dan summoned in.
So I don't understand why people are hung up about the broken shore