Yes, I am also using Atari800Winplus, but I am using it exclusively for the 8-bit atari games, many of which were on disk which is where the cabinet friendly load/quit problems arise. I did convert rom files to cart too for a while to get around that kb? confirm box you mentioned, but I found using the .xex images was the easiest solution, and most of the games I wanted to play were already in that format at the link I pasted. Funny, the mala check box that asks to use 'esc' as exit works fine for me without having to hot key alt-f4.
Atarimania is a great resource if you haven't been there, and has a wealth of 5200 stuff.