In the original Sonic 3D Blast, a button combination to exit the level wasn't really necessary, as the main menu could be accessed by just hitting Reset, and progress was never saved. In the DX version, however, there is a variety of options, and accidentally picking, for example, "Replay Level" instead of "Time Challenge" means that you can't go back to the menu until you've completed the level again or reset and entered your password. In these cases and more, a command to exit the level is absolutely necessary.
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I agree that such a feature would be useful. Also maybe a pause menu option for restarting a time trial.
I noticed the same thing, in fact I would love for the pause menu to include "restart level" (lose a life), exit to level select screen and also an indicator of how many medals have been collected so far in the level would be awesome!