Fullscreen exclusive mode gives the program that is running complete controll of the screens, so no other program can run on top of it.
I run vpx as well in fullscreen exlusive mode and that is working.
Are you sure, that when you press the exit button that is defined in pinballx, it closes complete your emulator ?
Can you post a new logfile (with all your settings changed) after you run a game and you dont see your backglass ?
Are you able to select a 2nd table from pbx and run it after it happens?