My recommendation would be to build valid romsets, just as the documentation is telling you to. That way you can avoid that screen.
As for why you can't close, i can't reproduce it on my side so it's most likely some kind of setup issue.
Maybe try to reset all your configurations and restart them from scratch.
Edit: could it be that you are using an extremely old version of this core ? nowaday, pressing any button on that screen is supposed to close the core, but several years ago it wasn't like this and you needed to go through frontend's menu/shortcuts to close this.
Edit2 : also, it might be a good idea to be more specific about your platform, i noticed you are talking about unplugging the power supply, so i suppose (hope) you are not using a PC.
