If you look at the description of the exit action (hover your mouse over the action), it exits the scenario “When run from CenarioVR”. So the window will be closed when running either in CenarioVR from the browser, in the CenarioVR app on a mobile device, or in a CenarioVR app on a VR headset. We do this by sending a message back to our parent, and custom code in the parent window receiving the message and closing the window.
On the Web outside of CenarioVR, we are subject to the same restrictions as any other HTML window, a window cannot close itself. If the LMS opens the window, the LMS has to be the one to close the window.
Commonly, in SCORM 1.2 systems, the LMS will close the content window when it receives the complete statement. In SCORM 2004 the LMS normally does not close the content on completion. You may check to see if there is a setting that will close the window when the complete action is sent.