Exit case is not a Basic statement. In C and related dialects you need to Exit since every subsequent statement will be executed also if it"s not the case...
In Basic every single case is tested.
With VB.Net you can exit from a single case, using Exit Select:
B4X:
Dim a As Integer = 3
Dim b As Integer = 30
Select Case a
Case 3
Debug.WriteLine("Executed before exit")
If b = 30 Then
Exit Select
End If
Debug.WriteLine("Executed after exit") ' <--- this line will not be executed
End Select