In Oracle Application Developer Guide, It says following...

The Oracle Applications forms have special exit processing. Do not call EXIT_FORM directly; always call do_key(’EXIT_FORM’).

What\'s difference between Do_Key(\'Exit_Form\') and Exit_Form?

EXIT_FORM
exit_form will close form (with validation).
Calling the exit_form built-in performs the standard exit form process (only).

Do_Key(\'Exit_Form\')
If you want to customize your exit process, you need a KEY-EXIT trigger. Then calling do_key(\'exit_form\') will execute the trigger and your custom code will run.
It\'s a good idea to use the do_key mechanism always. The standard functionality will be the same. 

BTW:How to exit whole application,code like:

copy(\'Y\',\'GLOBAL.APPCORE_EXIT_FLAG\');

do_key(\'exit_form\');