This is intended for now, we are exploring options to make this more clear in the future for customs. If you don't intend to finish a custom game, we recommend starting it with cheats enabled so you can end it from that menu. Otherwise you need to exit the client and wait 5 min or so.
EDIT: Adding some clarification. By intended, I mean we know this is how customs currently function, and we are/were ok dealing with this behavior for right now. We know it's not optimal, we know it's painful for friends wanting to test stuff out, and we will have a better solution in place before we ship. We just haven't gotten that work done yet, but be patient, we will.