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[jonsploder]

I have a better idea.

How about if you press Esc, it will ask you if you want to quit?

This would be the only practical reason, because the reason there is some delay after you press Esc is that the game is saving your profile data back to the server. It would kind of be like hard-shutting-down your computer while saving a Microsoft word file, and than going, oh shit, I want to cancel my shutdown. Just not really a practical a solution. Now after you press Esc if a screen comes up asking if you are sure about wanting to quit, that would be better.

Lolwut. You think it takes that long to transfer a few small variables? By your judgement, the game would lag like HELL.

Art is most likely correct. And a box would be annoying. Tapping esc again is more clean, and you could limit pressing ESC's. Eg, after 2, you have to wait 10 seconds before attempting to quit again.