Are you double pressing or holding it for longer periods? I'm a MA n00b but IIRC MA uses a monitoring script to kill the target process and return the FE. The MA page mentions that you might need to hold it longer or press ESC a few times to get the script to execute correctly. I've noticed this on a few different EMUs and even some MAME roms over this last weekend. Give it a shot and see if that works for you better.