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It did take me a second to realize that "Exit" wouldn't terminate the current game, but rather just take me back to the multiplayer window while the opponent can still take their turn. There also doesn't seem to be a "Leave" functionality for actually ending a multiplayer game early?

To leave a game early, hit the Gear icon in the top left corner and choose Resign. (You can currently only do this on your turn, but that will be fixed before release.)