I used to have this problem as well. I think I might have gotten rid of it. Don't use Shutdown from inside the game, but rather Logout. When you are brought to the title screen, I noticed that the "Start" button is greyed out for approximately 2-3 seconds. If I exit or use the Red X to close the window before the "Start" button is not greyed out, then the game would hang. However, if I waited until the Start button is not longer greyed out, and then exited, the game seemed to close properly. Try it out for yourself and post here if it works for you.