I was wrong, I looked at the source and forgot all the CP/M-inherited syscalls are supposed to lack an exit code. The MS-DOS 2 exit-with-return-call method works, and it looks like WSL2 can propagate that from its' Linux VM into Win32-land.

  C:\Users\andrew\emu2>bash -c "ndisasm x.com"
  00000000  B8214C            mov ax,0x4c21
  00000003  CD21              int 0x21
  
  C:\Users\andrew\emu2>bash -c "./emu2 ./x.com"
  
  C:\Users\andrew\emu2>echo %ERRORLEVEL%
  33

ah, good