Up to a point where the game exits for you, nothing particular is wrong. LFS is set to go windowed when new exe version connects to master server, so you can see any antivirus/firewall popup notifying you about modified .exe, and allow it to go through. There's somewhere (first screen after going "multiplayer" IIRC) checkbox or yes/no setting to stop LFS from going into windowed mode. After connecting to some server it should go back into fullscreen on its own. Why it does exit when you try to switch fullscreen is mystery. Don't you do Alt+F4 by accident, or how do you try to force fullscreen? Just ignore the windowed mode first time and go ahead (use Alt+Enter in case it will not switch back). If the network communication works, look for that option, and turn windowed mode off.