Herbie notes that

EXIT WHILE
EXIT WEND

are synonyms (!?)

So I agree that for rough justice 

EXIT CASE
EXIT SELECT

should be synonyms. 

I tend to think however that EXIT"<label>"
in place of GOTO"<label>"
in a LONG IF ... END IF block 
is just for the sake of public morality
(part of the FB Homeland Security Act).
Maybe RP has the inside story.

Cheers

Laurent S