Ok, interesting results.
I chose option 2 in the setup to change the hotkey to ALT.
First thing I noticed is that in the cfg file the last line has now changed to:
input_enable_hotkey = ALT
Tried Addams Family sns again, and now holding num2 and pressing num1 does not exit the game BUT holding alt (my 2nd player 1 button) and then pressing num2 exits the game. No other changes though.
So the hotkey button is definately working. num2 is working as the exit. However still no luck with saving or loading save states.