Acknowledging known solutions to provide "Exit" buttons, currently I do not see a compelling reason to implement an "exit" from a WP7 application.
The platform is fully capable of managing closure of apps. The more apps don't provide an exit, the quicker users will become accustomed to not thinking about app house keeping, and let the platform manage it.
The user will just navigate their device using start, back, etc.
If the user wants out of the current app to go do something else quickly - easy - they just hit start.
.Exit(), whilst available for xna, really isn't required anymore either. There was a cert requirement during CTP that games had to provide an exit button. This is now gone.
Non game apps never had the need to implement this.
The more this topic's discussed (and it really has been given a good run around the block), the more the indicators to me suggest there is no need to code an exit.
It should also be mentioned the app cert reqts are specific that apps should not have unhandled exceptions.