Yeah ExitProcess kills your process before the constructor finishes. So anythign the program would do after the destructor (call parent ctor, free memory, etc) won't be performed, which is why the compiler is giving you that warning.
That said -- you won't really leak memory because even if your program doesn't free the memory, the OS will free up all the memory your program used once it exits.
But do you need to call ExitProcess there? Why can't you just let the program exit normally?