( First of all: sorry for the necro-reply. )

I noticed I'm not able to exit advmame either when using
Start+Select on my GPi case.

This is how exiting is defined in the advmame.rc config file:
input_map[ui_cancel] joystick_button[0,8] joystick_button[0,9] or keyboard[0,esc] It is configured likewise in the advmame-1.4.rc config file and it does exit using that version. Tip: setting MISC_SAFEQUIT = no should allow for exiting without a confirmation popup.

I'm wondering though: since I'd like to use advmame instead of advmame-1.4 for some particular roms, does anyone have a solution to the exit not working on advmame (when using GPi case)?

Addition #1: advmame-1.4.rc (Exit Working)

Addition #2: advmame.rc (Exit Not Working)

@rulmismo just open the MAME menu in game using TAB and configure input per ROM or per Core.