Personally I try to avoid the On Exit event, because the action will occur after the slide is left. Moreover it will only occur if the last frame of a slide is visited, which is not always the case if you have interactive objects on a slide that trigger actions like 'Go to Next Slide'.
You can find more information about events here: Events and (advanced) Actions - Captivate blog
The On Exit event is not available on Quiz/Score slides.
To stop a slide at its end, easiest scenario is to put a click box on each slide, time it for the rest of the slide (CTRL-E). A click box is by definition invisible, and its pausing point (visible in the timeline panel) is at the end of its individual timeline. You can put it on one slide, Copy, select all other slides in the Filmstrip and Paste. If you extend the click box so that it covers the slide, you can instruct the user just to click on the slide
If you want to avoid that multitude of click boxes, you can also use a shape button on the Master slide(s).