I downloaded this, but haven't got around to installing it yet.
Autohotkey cures all. You'll probably end up needing it for something else down the road. I don't like extra stuff installed, but I use the hell out of autohotkey to get oddball emulators working the way I want.
Instead of pointing Maximus Arcade at the game exe, point it to an autohotkey script that launches the game and waits for you to press the exit key, then kills the game. I don't know what your exit button and the exe are, so this is just an idea of how it would work:
Run, maldita.exe
ESC::
process, close, maldita.exe
ExitApp
Install autohotkey, copy and paste the above into notepad (correcting the exe name) and save it as Maldita Castilla.ahk (all file types) and put it in the same folder as the exe. Then point Maximus arcade at it instead. If Maximus must have the exe extension, you can right click on the ahk script and compile it to an exe.