Exiting is only possible using the menu and not through the standard way using the back button. If you wonder why, it is simply to avoid that the recording get stop per inadvertence during a session.
Procedure To access to the menu, process as followings:
on touch screen watches: long press of screen on other watches: long press to the menu button. Select the entry “Save&Exit” so save the session or “Discard” to ignore it.
Video Tutorials Vivoactive 3 Forerunner 245