Well Bruno..
the point has already been made about your surfers not coming back which should be a concern but what about your trades...?? I don't know how big your site is or who you trade traffic with but if any of my sites were on that list I would drop you in a New York minute if you put up an exit console.
The other side of that coin is ... if you are trading with CJ2 sites that allow a single exit (or enter in some cases) then you are missing out by not having one.
And yet one more thought... to expand on the surfers returning... if you take the time to run a legit TGP with actual updated galleries and minimal to no blind links then an exit console would be very stupid indeed... but if your site is full of trades and very few galleries then go for it
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Make $$$ the Diabolical Way