The "yellow glowy thing" is a checkpoint (I don't know how to make it look obvious, I hope someone will have an idea) and you can exit with [Alt + F4] (at least this works on Windows, I don't remember the shortcut on Linux) but I can add an exit button, it's not hard anyway
It's supposed to start at that position again after a restart unless you've beaten the game and then updated to 0.2.0 and no, it's just so you don't fall into the void when you fall on the ropes section