Hello,
First, please show the properties of the object. You can still post the "show information" from the properties. That would help us greatly in assisting you. Second, I would recommend that you put a show_message() (its in d&d too, you'll just have to find it) for the collision event to see if the collision event is triggering. If the event is triggering then there should be no problem unless you have a wrapping clause around the room_goto d&d. If that is the case, I would also recommend putting a show_message() just to make sure the code is getting there. Unfortunately, that is the most I can help with as I cannot see the state of your objects (see my first statement or Aura's statement)
In particular, I would like to see the information from the Player and the Exit Object.