Figured it out. Found a youtube of someone with the same issue, then tweaked it a little bit.
I didn't do all that though, I just took a piece of his code and added it to the Exit Autohotkey Script in Manage/Edit emulator for PCSX2.
Below is the Exit AutoHotkey Script.
; PCSX2 has an ugly exit process; this cleans it up visually
Process, Close, {{{StartupEXE}}}
WinExist("LaunchBox Big Box")
{
WinActivate
}