Hello! What is the correct way to terminate the execution? I found how to send an error with pulumi.error(), but not sure how to exit properly. Should I simply exit with whatever way the language provides me with?

Depends a bit on the specific language, but in general if you wan to fail the deployment, just raise an unhandled exception. It’s best not to forcefully terminate the process, as Pulumi will try to take care of cleanly shutting things down once your entry point exits (either successfully or with an unhandled error).