Cheating? I'd say yes for the "if you were paying in an arcade" argument.  also if you were an operator would you refund the coin for a bad first ball!

At home, if I have a bad early ball I try to practice sillier, riskier shots.  Also a bit game dependant.  For Firepower on three ball where you need to build locked balls it's a problem. I also have a Wild Life where you can have any ball as a cracked and fill the bonus tree, if it's last ball with double bonus then you'll still get a good score so I'd play through normally.