I think it depends on the agency. I know when I lived in Ohio, I flew back to New England into Hartford and rented a car for the week. I told the agency I was taking the car to visit friends and family in Mass, ME, NH and VT and they had no issues with it. Only state the vehicle didn't see was RI.
It depends on the agency and the agreement. I used to work somewhere that rented cars and the agreement said that you weren't supposed to take the car out of CT.