I believe for my Fusion does exit (close) upon ESC.
If I can recall I use the feature in MaLa to set it as such.
However off memory, I think before I've got a notification of sort saying "Fusion still running."
I'll try and look for you tonight and let you know for sure.
I keep telling myself that I am going to take one of the spare PC's I have in the house install MAME & Mala.
Then one by one (which I've never done before, I jump the gun) install each emulator I want.
Install it and configure from start to finish the way I want. Making note of what changes I did, be it ESC, fullscreen, joystick configureation, etc.
I'm always taking these PC's and getting them ready for builds, projects for sale, etc. And all be it it does get a lil faster each time. Having a nice documented journal (of sorts) that records the changes I make would be well worth it.
Sorry to hi-jack.....just wanted to toss in my 2 cents.