ESC button closes the game

I want to close the Settings window while being at Starting Menu by pressing ESC, but instead this button just closes the game.
Is this the bug or just how this game works? Can i turn it off somehow?
Or at least, can you make it so there is the 'Are you sure you want to exit: Yes/No' thing popping out beforehand?
Its quite an annoying thing since ESC is rather frequently used button that os commonly associated with the quick going one step back or cancelling stuff. I dont want to accidentally close the game at some point.

Must be a bug, PoE 1 has the same but if you opened the options first then ESC closes the options menu