There should be an X icon at the top tight corner of the main menu. Does that not function?
That works, but once I start the game I can't leave it anymore. Pressing Esc just gives the "Embrace Failure" animation but I can't get out getting back into the main menu.
Clicking "Embrace Failure" should start a transition back to the main menu. I will also add an exit to desktop option to that menu.
I just tried it again... With some random clicking around in the "Embrace Failure" screen I managed to drop out of it to the main menu, eventually.
Having clearly visible UI elements for "Try Again" and "Go Back to Main Menu" will make it much better though :)