It is the HEIMDAL Agent's job to keep you safe and that is why there is no Exit button included in the product. For your security, it is important for Thor to constantly run on your PC.
Moreover, if this option existed, cybercriminals might use it to shut down the product and penetrate your defenses, thus infecting your computer with malware. Not having this option means that cybercriminals have a much more difficult time infiltrating your system.