I obviously can't speak for every checkpoint that's set up across the union. Around here, they make sure you're aware of it long before you get there. If you're paying attention at all to where you're going and what's ahead of you, you'd certainly have time to bail, and you'd have legal means of doing it (which is to say, there'd be a road you can turn off of, not just a wide spot in the road where you'd commit an illegal u-turn and then get stopped for that).
They aren't surprise stops by any means. To the extent that they can, the police give advanced notice, both to motorists on approach and to citizens in general - around here, they put the upcoming checkpoint information in the newspaper! So they're not like the motorcycle cops that hide behind trees, signs, and buildings with a radar gun and try to trap speeders... the checkpoint is more like a camp that the police set up in some street somewhere to check on people who decide to drive through. And if you decide you don't want to be party to the checkpoint, unless you do something to give the necessary reasonable suspicion for a stop (e.g. the illegal u-turn), they do not and should not pursue - at least not by SOP. If they do, it might be worth getting in touch with a lawyer, especially if something significant came of it.