As every tests are run by the same PHPUnit process, if you use exit/die in your PHP code, you will kill everything -- as you noticed ^^
So, you have to find another solution, yes -- like returning instead of dying ; or throwing an exception (you can test if some tested code has thrown an expected exception).
Maybe PHPUnit 3.4 and it's --process-isolation
switch (see Optionally execute each test using a separate PHP process) might help (by not having everything dying), but you still wouldn't be able to get the result of the test, if PHPUnit doesn't get the control back.
I've had this problem a couple of times ; solved it by returning instead of dying -- even returning several times, if needed, to go back "high enough" in the call stack ^^
In the end, I suppose I don't have any "die" anymore in my application... It's probably better, when thinking about MVC, btw.