I got exactly the same problem...and seemed so strange, because i use mala on 2 different pcs, one on my desktop pc, and other on my cabinet...(Windows 7 64bits)
After reinstalling Mala 1.74 on boths pcs, on the desktop one, all goes well, kega exits when i press ESC key, but when i try on my cabinet...it didnīt work...strange, cause both pcs use exactly the same config...just the same config that user "thatgammon " has told on this post.
After investigating i solved the problem...and the problem (i think) was ATi Catalist center starting with windows, a few days ago i updated my card drivers and seem that ati catalyst auto configured to start with windows...
I went to star menu, tipped on windows search box this:
MSCONFIG
...and press return
A new window will open where you can see what programs are executing in windows start, i have no program checked, unless mala (on cabinet)...and yes, ati catalyst was checked too (cause i reintalled card drivers)...i unchecked the box, restarted windows and all goes well, Kega exits normally pressing ESC key (1p+2p button on my cabinet).
Hope this help someone.