I don't have an A500 myself (although if anybody does have one and has tested the game on it please do post your findings here as that will be more useful than anything I can write), but I will try and find a solution if I can.
How much memory do your A500s have? What Kickstart chip also?
Does the music start playing before it quits out? During testing a few days before release, I had the game quit out to AmigaDOS like you describe. The music loaded and started playing and it quit shortly afterwards.
It does need 1MB Chip RAM to run so if you have 512K Chip and 512K Fast unfortunately it doesn't work.
Obviously testing in WinUAE isn't the same as a real Amiga so as I say, it will be interesting to hear from people who have tested it on a real A500.