Because you told it to:
does - exit from the current method immediately. Since that code is executed in the Start method, when the user choses "0" the method immediately ends, and control returns to the previous method.
Since you don't show us where that is called from, the best guess is that it's from your
method, and it does nothing else there but exits that method as well.
exits, a console application ends, and you get "Press any key to exit".
What I'd suggest is that you start running your code under the debugger - if you don't know how to use it then a quick Google for "Visual Studio debugger" should give you the info you need.
Put a breakpoint on the first line in the function, and run your code through the debugger. Then look at your code, and at your data and work out what should happen manually. Then single step each line checking that what you expected to happen is exactly what did. When it isn't, that's when you have a problem, and you can back-track (or run it again and look more closely) to find out why.
Learning to do that will save you a huge amount of time and effort in the future!
Sorry, but we can't do that for you - time for you to learn a new (and very, very useful) skill: debugging!