Well, the problem with the "Close" button not working is happening to me as well. I think it started after some upgrade of SDL personally, but I haven't tracked down the root cause. Also, it could have been due to some change on our end. Either way, it's a very annoying bug, especially when playing in full-screen mode!
As to the root problem, it sounds like you're using the original Glest core data files rather than those from GAE. The "loadgame" screen was added in GAE. So this is your setup, but the problem with GAE not exiting when you hit the Close button in the crash message screen, that's a bug and you can report it if it isn't already in the bug database. Thanks