In the campaign the exit box(es) blow brightly, I never saw that in tactical battles in the main game, so I supposed there was no way to retreat at all. First time I see that there aparently IS an exit box in those battles as well.

Look for the glowy fog on the edge of the map: that's the retreat zone.

I actually agree with this particular design premise.  Retreat should be very costly because it eliminates cheese tactics.  If you're going to engage someone in battle then you better be damn sure you can see it to the end.  None of this "hit-and-run" nonsense to try and whittle down a superior force.