Well I think I have found a solution to my problem by having a similar issue with another emulator. I am not sure if this is a Windows 10 issue or something else. It would seem that applications, emulators, programs, etc. that use the Alt+F4 method for exiting the program instead of escape makes GameEx think that the program is still running which is correct. Which in my case just made the program minimize instead of exiting like most emulators. So what I had to do after thinking about it was to go into the GameEx wizard then go to Input settings then scroll down to Global Exit and select yes for enable global escape key exit which was off by default for me anyways. Now Project64 exits back to the GameEx screen as it should. I am sure this is one of the reasons this options was put into GameEx just took me awhile to find so I thought this may save somebody some trouble.