If you go into the kingdom management screen there's a button that gets you to the main menu, where you can exit.
It's a beta...it's rough around the edges.
What bothered me the most was that the game doesn't minimize when it fires up and gets halted by a firewall and you can't ctr+alt+del to get task manager up, or get out of the game in any way. You have to shut down and restart your PC. I don't like when games assume full control like that and hope this changes.