I don't feel that message so painful, but personally I do prefer to use the Exit function in the File menu: it's quite as fast as clicking the cross button in the project window, and works on every window (so I don't need to locate the project window that I tend to hide under source code windows).
Almost always I feel more confortable the keyboard shortcut to operate on files and windows (Ctrl-W, Ctrl-U) or to locate objects in the project (Ctrl-I, Ctrl-F...).
The greater part of my working time with CVI is spent on the keyboard, limiting the mouse usage to designing the UIR and a few other tasks, so I tend to use the keyboard more than I do in other activities.
Roberto