I seemed to have figured out the cause at least on my setup. If I open Windows Explorer and then open BigBox it will fail to load back into BigBox after exiting Mame. But if I have no windows open except for BigBox, then it seems to close correctly. I have tried this a few times, both with a Windows Explorer window open and with it closed and every time I have an open Window Explorer it fails. I haven't tried with other programs but I would imagine that any program being opened could cause the issue?