Hi Saurabh, that makes a lot of sense and explains why the segment doesn't filter out anything, since every Visit has an exit page. However, we still have an event called "Exit" that takes place on a page. After all, I can look at a page and apply the metric "Exit", which is different from looking at an Exit Pages report. I feel that even the documentation confuses things (see here: https://marketing.adobe.com/resources/help/en_US/reference/metrics_exits.html). They define an Exit as "The number of times a given value is captured as the last value in a visit." But the very next sentence is "Exit pages have a visit breakdown scope" (as you said) which muddles things because now they're talking about Exit Pages, not Exits the metric. "Exit Page" is not a metric.
So an Exit doesn't have to be associated with a page, but with "any given value." Given that, I would expect to be able to create a Hit level segment with the Exit metric set to greater than 0. This I could apply to any dimension like I would the Exit metric itself.
Anyhow, thanks for your answer, much appreciated. Learned something new today :)