Yeah this is annoying because it makes exiting steam annoying. It also happened on the normal version but only when I would type 'quit' into the console.
Yeah. To make it exit properly, start "SDK Base 2007" in your tools library, and then ext that. We can only fix this once we send the patch. If we fix it in the meantime, VAC kicks people from the server because their files don't match the current steam release of Empires.