Your STOP RUN is returning here, cob_stop_run (rtd, return_status), so your prior code after the invocation of the COBOL program does not run.
If EXIT PROGRAM is in a "main" program (at least in the case of the pragma-usage it seems that is what you have) then it is treated the same as STOP RUN.
GOBACK is returning control to where you expect it to.
If you use the COBOL-IT API, as has already been suggested, then perhaps the EXIT PROGRAM will behave differently. Perhaps not.
You are using an undocumented way to call a COBOL-IT program. Exactly how it behaves is not known, and cannot be known, to someone without COBOL-IT and the same operating system as you have, and the patience to do something in a non-obvious way.
If things are suggested which you then ignore, it is difficult to keep answering your questions.
Again, you have an Assignment. The Assignment expects you to use the API. You should use the API and get your programs working. If you have time later, you can look at the pragma-usage to effect the interoperability.