All ways of exiting are proper - it just depends on what you want to do:
Logout - changes can be saved and the Text editor
exits, but TestStand prompts for a new user
Close - changes can be saved and TestStand closes sequence file,
but the application keeps on running.
Exit - asks for changes to saved and exits from TestStand
Although I don't see the options you list in my File Menu,
I suppose it is just about the same thing - you have the
TestStand application and you can have many sequence files
opened and some of them may be executing. Chosing one of
your options wouldnt break anything (always chose for running
cleanup before after stoppin an execurion)
Cheers,
Andre