SYSTEM spawns the system shell as a sub-process. If one would EXIT from the spawned command.com/cmd.exe, QBASIC would pop up back. I think a user of programs written in this way would find themselves surprised.
END: Ends a program, procedure, block, or user-defined data type. [...] If no argument is supplied, END ends the program and closes all files.
STOP: Halts a program.
SYSTEM: Closes all open files and returns control to the operating system.
You may be thinking of:
SHELL: Suspends execution of a Basic program to run a DOS command or batch file.
SYSTEM with a string argument on some Microsoft BASICs spawned a shell that ran the command in the argument. On others, the SHELL command did this. (iirc mbasic on xenix used SHELL, GWbasic used SYSTEM with an argument.)