What version of QTP/UFT are you using?
For many years the ExitActionIteration and ExitAction were not working correctly.
It seems to be fixed above 12.5x.
It worked better inside of an action. It did not work at all inside of a function library. Now it seems to work at designed.
I kept complaining about it on this forum. I am glad it has been fixed.
When in Florida, Don't Tampa with the code. I made this up.