In order to select the exit mode to be Cascade, the duration cannot be infinite. Also, if I set an effect to Cascade Exit, then change the duration back to infinite, it stays as Cascade (and cannot be changed to Immediate unless I set a duration again). In testing, an effect I've manipulated this way into infinite with Cascade Exit behaves properly and does cascade exit. So why is this? Why can't it just be selected from the menu?
This is on the list for future improvement. Right now you can only choose cascade on an effect that has a known end state.