It’s assur to publicly go against the minhag hamokem of the shul.
I’m not so certain that not saying “L’Dovid” is considered “public” (as opposed to Kedusha, which by its very nature, is public). After all, when I daven in a Sefard shul, I still say “Hodu” after “Baruch Sheamar” — no one knows the difference anyway, so it’s not public. However, by tachanun on Monday/Thursday, I will do nefilas apaim with the tzibbur (before V’hu Rachum) rather than after (as is the custom in Minhag Ashkenaz) because my doing it different would be very public.
In any event, walking out early (whether you say it or not) is disrespectful and should not be done. Likewise, those who daven Nusach Sefard should not do so by Ma’ariv at an Ashkenaz minyan.
The Wolf