I shift my rear derailleur under load all the time. Sure it's louder and it takes more effort for the chain to get over to where the derailleur is telling it to go, but it works. Now the front, I go out of my way to not shift under load. I try to shift to the appropriate chainring shortly before I actually need it. Otherwise, I will likely get some stupid chainsuck going on (middle non-stock ring seems to be ghetto in some way). I already have a chaincatcher so I won't drop the chain. I have a triple, which is admittedly more finicky than a double or compact double.