this had me stumped for a little while as well, but when you are at the main screen with all your facilities either hit the back button or menu button in the upper right. You should then see the menu options and what looks like a red door in the upper right where the menu button was. That red door button will allow you to exit when the back button won't work.
For me it's important to close a game or app just with the back button.
I don't understand why Microsoft accept this exit feature, where you must find a small icon to close a game.
In the Technical Certification requirement, Microsoft say :
5.2.4.2 – Back button: first screen
Pressing the Back button from the first screen of an app must close the app.