Exit Select block?

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I don't get why you need to exit out of a case block.

If you want to exit a Case before the end of it.

Suppose you have a character that can walk left, walk right, climb up a ladder, or slide down a chute. While he is walking, he could be on a platform or a treadmill. Do a select for which type of movement he is doing. If he is walking, then move the character left or right, unless he's on a treadmill, then any movement will cause him to stand still.
psudocode:
Select State
Case WalkingLeft
   If OnTreadmill 'character on treadmill?
      If TreadmillLeft
         CharacterX :- 1 'Move the character faster if same direction as treadmill
      Else
         Exit 'exit from this case with no movement
      End If
   End If
   CharacterX :- 1
Case WalkingRight
   If OnTreadmill 'Character on treadmill?
      If TreadmillRight
         CharacterX :+ 1 'Move the character faster if same direction
      else
         Exit 'exit from this case with no movement
      End If
   End If
   Character :+ 1
Case Climbing
   CharacterY :- 1
Case Sliding
   CharacterY :+ 1
Case Standing
End Select

I know there are other ways to code that without needing an Exit, but sometimes it is just simpler to use.