You can quit E-UAE with the shortcut left CTRL + left ALT + q
http://www.amigans.net/modules/xforum/viewtopic.php?post_id=43126
Yes, after (you have made sure you haven't any unsaved data and) the HD has stopped blinking, it's safe to just turn off the machine. However there are some tools to turn off the machine via software as well, like pOff (I'm unsure if it supports X5000 though).
I liked the 4 or so second grace period the X1K had for shutdown.
Don't think that is an option as far as I know for X5K.
If I remember right... push the power button for like 4 seconds in order for the X to shutoff. That way it gave the data time to save if something was wrapping up and you hit the button too soon.
TJ