I don't get why you need to exit out of a case block.
If you want to exit a Case before the end of it.
Suppose you have a character that can walk left, walk right, climb up a ladder, or slide down a chute. While he is walking, he could be on a platform or a treadmill. Do a select for which type of movement he is doing. If he is walking, then move the character left or right, unless he's on a treadmill, then any movement will cause him to stand still.
psudocode:
Select State
Case WalkingLeft
If OnTreadmill 'character on treadmill?
If TreadmillLeft
CharacterX :- 1 'Move the character faster if same direction as treadmill
Else
Exit 'exit from this case with no movement
End If
End If
CharacterX :- 1
Case WalkingRight
If OnTreadmill 'Character on treadmill?
If TreadmillRight
CharacterX :+ 1 'Move the character faster if same direction
else
Exit 'exit from this case with no movement
End If
End If
Character :+ 1
Case Climbing
CharacterY :- 1
Case Sliding
CharacterY :+ 1
Case Standing
End Select
I know there are other ways to code that without needing an Exit, but sometimes it is just simpler to use.