Yes Exit button must be there.
The UI of opera mini for windows needs improvement i.e. :
(1) The top url & search bar is too thick and the bottom navi bar is also too thick.
(2) The buttons are also too big.
(3) The default navigation bar in windows phone 8.1 is on screen and there is no option to hide it and the UI of this opera mini makes the screen too small to be used while browsing.