I've just started using MaLa, so I'm not real familiar with all its features, but when I hit the Player 1/2 start button combo on my cab, I also only get the option to quit, not that Exit Menu. Is that what the original post refers to?
I have my PC bios set to shut down Windows when power button is hit, so I have just been exiting MaLa and doing that.
Just throwing that info out there.