I guess you should be able to start the current running game, and then you’ll be able to reach the menu as usual (perhaps an option: Exit to: Game or Menu).
Yes, I really would like the system to switch games randomly after a set period of time (also an option where you can set the time to 5, 15, 30 and more minutes).
And thereby, there should be an option to filter out some systems: for example you’re maybe not interested to see the Gameboy games during the attract mode, so you’ll have to remove the GB from the list of active emulators.
I know I would keep my system on more often with such an option: there’re so many games in my collection I’ve never played or even seen.