It depends on the unit. Some old style pilots had a supply line right off the main gas line. If the pilot blew out it still fed gas to the pilot but turned off the main valve.
The newer style where the pilot feed tube comes out of the gas valve itself shuts everything down when the pilot goes out.
Billy
If you could get me a model number of your furnace I could be more exact.
Do you have the number available?
Ok, this is a "combination" gas valve. This means the pilot, pilot safety and main gas are all in the one unit.
This means that if your pilot was out, and you turned up the heat you should have no smell of gas. The unit should be 100% shut down.
I would soap bubble test all the joints and fittings to see if something else is weeping gas.
If you continue to smell the gas I would call a contractor who can pinpoint the leak with a gas sniffer.
HVAC Mechanic
State Licensed Mechanical Contractor, Heating, Cooling, Oil Burners, Heat Pumps, Boilers, Geothermal
Better to leave lit. That way all gas is being burned.
Odds are most all gas would vent up the stack. But I am a "better safe than sorry guy"