This subject has come up a few times. Was going to point you to some threads, but board search doesn't seem too selective these days
Sounds like you've already got a handle on the issue though. I'm not aware of any reviewers that require exit links, but if you do have one...make sure it goes to a completely non-adult link.
As to the benefits of having one...about the only perceived benefit that comes to mind would be making an effort to provide an exit for those not wanting to see adult content. But, as you mention...all browsers do have a back button and a red X. I'm certainly not aware of any adult webmasters making big bucks with their exit links
Sooo, bottom line...do whatever you're comfortable with. Personally, I've always used exit links...but I've never required them as a reviewer.