It could be easily added, I think. The hardest part is finding a suitable icon, keeping with the theme. :/

Only thing I would say though is that if you are exiting Emulation Station into the terminal then I would say you are probably going to be using a keyboard straight away anyway. In fact, you have to press a key within a few seconds to remain in the terminal and prevent ES loading up again, so does that not make the ‘Exit Emulation Station’ menu button rather useless? Seems to me the <F4> key is just as easy?