Ah, where would the survival industry be without Rambo and his magical knife? This is another example of what I call the TBH (Trained By Hollywood) effect that many of us succumb to. Much of what is passed to viewers of television shows and movies as it relates to survival doesn t translate to the real world.
So, to answer your question: No, it is not effective. You are essentially sealing in any bacteria and crud. I know, "The Romans and Apaches did it," you say. But they also allowed for a huge attrition rate in their warriors from combat-related mortality and "improvised" medicine."
I even ran this question by a colleague of mine who teaches for the Wilderness Medicine Institute of NOLS. He said that Johnny Rambo, with his Special Forces background, should have known better and kept the wound clean with frequent changes of gauze and antiseptics (most likely herbal meds gathered under wilderness conditions). Not exactly the vein-bulging, face-contorting scene a producer is looking to include.