exit : Java Glossary

System.exit(int retcode) is a method to immediately terminate your application. Presumably the operating system will tidy up after you and dispose of all the native GUI (Graphic User Interface) resources you were using. Ironically programs don’t even start processing events until the main routine has exited via return — not via System.exit. System.exit shuts down all the event processing.

On the command line exit mean terminate the script and its callers. It does not mean return to the caller of the current script.