Not normally - because sometimes they don't work the way they are supposed to (or are not as effective).
I do however use the similar feature in DPP, which works amazingly well and had the added benefit of separating curvilinear distortion from all other corrections. This is a big deal because correcting CA improves detail in an image (it is one of the few truly non-destructive corrections) but distortion correction is always going to be stretching and/or squeezing pixels somewhere in the image, resulting in interpolation and less detail, and/or the appearance of strange artifacts. In many images that don't involve architecture, a bit of distortion can go unnoticed so I'd (personally) rather keep the detail. YMMV.
As nothed elsewhere in this thread, you can use the sliders in Lr to back off on the distortion correction but some changes are "baked in" (like where you see things far from the edges of the frame change size) so the ability to treat them separately (like DPP, which still has a few bugs) is limited.