@silverchair are you using Retroarch or stand-alone emulator? With stand-alone emulators it's worth going through the settings and making sure ESC key works as Launchbox/Bigbox is really only sending the ESC command, they also don't play nice if you have a controller button conflict.
Side note, but in case someone has been trying to figure out why BigBox doesn't Exit a Game, but works with Launchbox (Exit Game under Options > Game Controllers > Mappings). You have to set the Close the Active Window mapping under Options > Controller Mappings.
Call me daft, but this took me ages to figure out that Exit in BigBox > Options > Controller Mappings actually means exit BigBox when not in-game.