Ok for your first issue with SNES9x go to tools click manage emulators and then go to SNES9x select it and then hit edit after that go to the associated platform tab and type in -fullscreen as the default command line parameter. That should fix that issue
To add the esc to exit emulators that don't have it built in copy this code and paste it in to the Auto Hot key tab in managed emulators
; This section closes Snes9x when pressing Escape
$Esc::
{
Process, Close, {{{StartupEXE}}}
}
The first line with the ; isn't part of the code just a description to explain what it is you can make all of your emulators use this same code or you can amend the first line to contain the proper name of the emulator it all depends on how picky you are about it.
Then to get your controller to use the ESC key you have to go into Tools and click on options. On the left there will be a menu go to where it says AutoHotKey in the input section and click it from there you will check the check box at the top and set your button combos to Escape from the emulators.
I don't use Kodi I'm a Plex Home Theater guy myself and instead of using LaunchBox through Kodi I launch Plex through LaunchBox so I don't have a clue as to how you will solve that issue.