@aix's answer is probably apropos to your question. Each time you run the java command (or the equivalent) you get a different JVM instance. Calling System.exit() in one JVM instance won't cause other JVM instances to exit. (Try it and see!)
It is possible to create a framework in which you do run multiple programs within the same JVM. Indeed this is effectively what you do when you run a "bean shell". The same sort of thing happens when your "programs" are services (or webapps, or whatever you call them) running in some application server framework.
The bad news is that if you do this kind of thing, there is no entirely reliable way make an individual "program" go away. In particular, if the program is not designed to be cooperative (e.g. if it doesn't check for interrupts), you will have to resort to the DEPRECATED Thread.stop() method and friends. And those methods can have nasty consequences for the JVM and the other programs running in it.
In theory, the solution to that problem is to use Isolates. Unfortunately, I don't think that any mainstream JVMs support Isolates.