For turboprop aircraft, if the engine is producing power (eg. oil leak) then keep it running until at a safe altitude. If the engine isn't producing power, then the prop may need to be feathered to keep the aircraft climbing.

Certified passenger turboprop aircraft (ATR-72 included) should be able to maintain altitude, without feathering the failed engine.

I was thinking of British Midlands flight 92, where an experienced crew that were new to the 737-400 misread the vibration instruments, and shut down the wrong engine, at altitude. Poor training on the -400 differences was a major factor.

Experienced pilots do screw up occasionally, but good CRM usually avoids a mistake snowballing into a fatal crash.

In a Cessna 150, I had the window come open on takeoff. Same aircraft, same instructor, same thing happened to my dad years before. He told my dad to "Fly the plane".. I knew not to close the window until at a safe altitude. He just smirked a little.