It’s this problem that prompted me to switch to this control scheme: New Picade - Software configuration issues
[LT] /--------------------------------\ [RT]
[U] [B] [Y] [RS]
[L][D][R] [A] [X] [LS]
\--------------------------------/
[START] [SELECT]
with LT (Left Trigger) as the hotkey enable since I had trouble with it on SELECT since it kept entering recording mode.
This makes [LT] + [START] exit, and [LT] + [X] go into the emulator config menu, which are both super handy.