This is by design, at least at the moment. In the options you can select one specific controller or use all available, if you choose the all attached option then yes there is no differentiation between joy 1, joy 2 etc. Bare in mind what you set in Launchbox/Bigbox is only used there and does not pertain to emulators.
I would suggest setting up the combo anyway for exiting so you have to use two buttons, hitting just the one to exit may be too easy to hit when four players are huddled around hammering away at it.