I'm always asked in Tucson/Phoenix and San Diego if I plan to drive into Mexico, or reminded that I'm not supposed to.
I was also reminded on Maui not to drive around the southeastern end of the island past Hana. (I fudged a little on one trip to get as far as Lindbergh's grave. If anyone from a car rental company is reading this, I didn't hurt your car, and the statute of limitations has long since expired.)
I also rented a car once in the northeast U.S., I forget exactly where, and was given a list of states I could drive in. I knew I'd have to go into one other (adjoining) state. I told the agent, she said "no problem," added it to that part of the contract and initialed the change. I think that was with a smallish company, but it was a while back and I'm no longer sure.
I figure they have a right to know where their cars are going to be and to make reasonable rules about it.