My understanding of the Android application framework is that this is specifically not permitted. An application is closed automatically when it contains no more current activities. Trying to create a "kill" button is apparently contrary to the intended design of the application system.
To get the sort of effect you want, you could initiate your various activities with startActivityForResult(), and have the exit button send back a result which tells the parent activity to finish(). That activity could then send the same result as part of its onDestroy(), which would cascade back to the main activity and result in no running activities, which should cause the app to close.