Clicking File and then clicking Exit is an alternate way to exit the emulator. Or Ctrl Alt and Delete and closing the emulator from the menu is another way. Alt-F4 is universal way to close any program on a window machine. Ctrl-C will close a dos game like Day of the Tentacle.
Don't feel bad, I've been using Windows for 25 years and this is the first I've heard of Alt-F4. 😄 Many applications I've used, Ctrl-Q quits. Esc works to quit most of the versions of MAME I've used. However, in Fusion it toggles full-screen mode.