Hi There,
Welcome to Adobe Forums.
Please try this:
1) Add a button or a smart shape (use it as a button) on the video.
2) Click on the video and press CTRL key from keypad and click on the button or the smart shape (which was added on the video).
3) Right click on them and create a Group. (This will create a group of video and the button which was added on it)
4) Click on the button which you are using to show the video and change the action to show the group.
5) Click on the button which was added on the video and select the action to hide the group.
This may help you in showing the video with the exit button and you can exit the video also. You can change the name of the button accordingly.
Please let me know if this helps.
Thanks
Vikas