I have this same issue with a DX11 capable card. I just got a new GTX560Ti with the latest drivers running on an I7 CPU with Vista 64bit.
In DX 11 mode, the game always crashes upon exit and it will not write any changes to the options script file. This issue popped up right after the patch, so I re-installed the game, which of course discarded any options script files. After the re-install, I started the game in DX11 mode, and still got the game exit crash. The real issue was that because of the crash on exit, none of my options settings were being retained due to the script file not being written or re-written.
The only work around was to revert to DX9, exit once with the crash, then restart and exit again with no crash, which then creates a script file, switch back to DX11, exit with the crash, and manually edit the script file to retain the DX11 settings I want to keep.
Unfortunately, there are a lot more general option choices maintained by the script file than just graphics. Stuff like audio, advice levels, battle difficulty, battle timer choices, camera and battle control modes, to name a few, are all recorded in this file. Now if I want to make any minor option changes that will be retained, I have to jump through a lot of hoops, and it still is disconcerting to have the DEP crash screen pop up every time I exit the game.
This problem has been reported by others at the official forums, so I assume it will eventually be addressed. Still, can you imagine a casual gamer or a computer neophyte trying to deal with such issues. It's no wonder there that consoles are so popular--well, maybe not the PS3 right now--lol
By the way, in case nobody has noticed--with the latest patch the game now takes up a whopping 18 GB of space on your hard drive. I'm guessing that at 2.5 GB, the latest patch had more than just fixes plus a few new multiplayer maps, but may have also contained some of the DLC that will be unlocked eventually.
I think the first Shogun took up about a gig of hard drive space--and the Mongol expansion only increased it to about 1.5 gig. Of course that seemed like a lot since my PC at the time only had a 20 Gig hard drive.
Cheers
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