Yeah this is confusing. You have the exit option by using the “TAB” key, but not on the “ESC” key. Had me force quitting the game the first time and lost my progress by doing that.
I agree, it took me a long time to figure it out.
As @MisterFlames said, it will be the last icon on the right as you “click-once” the ESC or Menu button.
Hotfix 3 patch note regarding this 
