I don't think it's cheating but it is a bit like giving up.
If you get a good score on your first ball but the second one drains, do you reset the game?
Of course not (well I don't), some of the best scores I've ever got on my machines were all from only one or two balls.
The point is, you never know how you'll go on the second or third or whatever ball.
Who knows, you may have missed out on some of the best games or scores you've ever had.