In that case, it's not needed. No extra threads will have been started up, you're not changing the exit code (which defaults to 0) - basically it's pointless.
When the docs say the method never returns normally, it means the subsequent line of code is effectively unreachable, even though the compiler doesn't know that:
System.exit(0);
System.out.println("This line will never be reached");
Either an exception will be thrown, or the VM will terminate before returning. It will never "just return".
It's very rare to be worth calling System.exit()
IME. It can make sense if you're writing a command line tool, and you want to indicate an error via the exit code rather than just throwing an exception... but I can't remember the last time I used it in normal production code.