Correct.
Correct again. PowerDVD is actually the worst offender in this regard. Not only does it not provide a way to exit with a remote control, it also intercepts button presses, preventing CMC from listening in the background and taking action.
So you have to kill PowerDVD, but technically you have to kill all the players - and once you configure a Close button to perform the kill, this becomes a non-issue. You can use that Close button on your remote no matter where you are: PowerDVD, JRiver, DVDFabPlayer, Steam, Chrome, Firefox, some random pop-up window, and yes you can close CMC too with it.
I just wrote a whole new section on this, section 9 here: https://chamconsoft.com/cmc/getting-started/