As for quitting on Windows in fullscreen, I'm not aware of any other but to use ALT F4? On the Mac you can use Command Q to quit. Are you looking for it to auto quit after you shutdown?
Yes, I at first was thinking it would auto quit itself after a while of "preparing to shut down", and was worried it might have gotten "stuck" the first time I saw that.
I know it's safe to close it with alt F4. But if there isn't any pressing developer reason to keep it running after selecting to shutdown the OS/System, it would be more user friendly to close the application automatically. Similar to typing "SHUTDOWN" in some other virtual consoles.