In Sonja Henie's first Olympic Games, at age 11, she had to stop several times during her program, skate over to her coach, and ask what she was supposed to do next.
Anyway, in the free skate "thinking on your feet" usually gets you tangled up in Zayak violations. See Mariah Bell's free skate at the 2016 U.S. Nationals, for instance. Or course that's better than
not thinking on your feet, aka Oda-ing.
Here is my favorite figure skating quote (Shizuka Arakawa): "Having my mind go blank was actually a good thing. When I came to, I was halfway through my program."
I actually think that it is more a question of having (and practicing) a backup plan in case plan A doesn't work out. Michelle Kwan used to have two endings to her programs, depending on whether she hit her opening triple-triple attempt or not. In the short program, it used to be common for a man to plan 4T+3T and 3Lz*, and then if the quad combo didn't happen, do 4T and 3Lz+3T* instead. Plan B actually scored more points because of the bonus and the only risk was the minimal one that the judges might say you didn't do any steps before the quad. (But they never say that.)
There is a psychological negative, though. If you expect to fail on Plan A, even to the extent of practicing a Plan B for when you do fail, then fail you probably will. Much better, IMHO, to say, "I got this."