Yea, I too wanted to use VMJ...even paid for the application but can't close it down without opening my cabinet up and pullling out the key board. I submitted a long expaination and request for a "fullscreen to application exit" option but I haven't heard anything on that front yet. I pop on their site to check up on it fewer and fewer times. Considering cutting it out of my cabinet and going with a different software package.
If anyone else reads this and has the same problem, do me a favor and post a "I second this" on my posting on their feature page.
Thanks,
zman