I figured out a little what is going on. Outside of LaunchBox in eSPXe 2.0 if you press atl+f4 you get the exit confirmation message while if you hit escape it will close the game and take you back to the emulators gui then you can hit alt+F4 and there will be no confirmation message. So basically when you set up the autohotkey for the controller the close process isn't using escape it is using alt+F4 and that is why you are still getting the confirmation message. So unless there was an option to use escape as a specific button in LaunchBox then it isn't going to work out how you want unless you use another program like Xpadder to set up button(s) to act like escape.