One time I loaded up the game and there was no text on the menu, after clicking two of them incorrectly and not finding the exit game, I pressed ALT+F4 and closed the game. However, the increased gamma setting persisted into windows and made everything brighter. Upon relaunching the game, it increased it yet again. Rebooting resolved the issue, but it seemed noteworthy enough to report.
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Yes, also occurs if the game crashes, so any unexpected exit I guess.