While it doesn't really matter which engine layout or drivetrain configuration helps you crash, these two videos from demonstrate perfectly the difference between leaving the track suddenly with an Audi, and doing the same behind the wheel of a BMW.
Not that the A4 wagon above had much chance. The driver went into the corner way too fast, and the fact that Audi (and Volkswagen is general) likes to put its engines forward of the front axle means on a slippery surface at higher speeds, the steering angle will have next to zero effect on where the nose of the car is heading. Some rude people go as far as calling this Audisteer.
If you think the latest A4 generation is different, have a look at this picture of the common MQB platform-based current A4:
Of course front-wheel drive and all the understeer that comes with it is generally considered to be safer than a tire smoking, tail happy rear-wheel drive setup, mostly because its easier to correct understeer up to a certain point by lifting up and braking than fighting oversteer at one opposite lock after the other. Advanced users might prefer the latter, but as this previous generation M3 demonstrates, you can oversteer yourself off the track with ease at relatively low speeds as well.
Of course using your brakes does help in a case like this.
Unlike let's say a Dodge Viper, the current M4/M3/M2 generation is far from being front-mid engined, but with the straight-six sitting on the front axle with the gearbox right behind it, all the weight is kept within the wheelbase, resulting in a better weight balance than what VW could ever achieve with an MQB car, Quattro or not.