Are exit opportunities at the SM level significantly better than at the M level?

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Yes.

Like what?

I had heard the opposite!

Opposite

At the SM level its a little more challenging due to comp and role scarcity. Since only a handful of industries are able to match SM comp you get a lot of competition, coupled with fewer senior-level opportunities. However, i would venture most at the SM level are looking to exit consulting to industry, whereas managers may still be grinding in other professional services firms, IB, etc. where employers may view them as more universal (more easily inserted across the org vs. SM)

I would also guess a lot of companies are weary of consultants who don't have industry experience. Why poach a SM with no industry experience vs grab someone who's already been owning and delivering in industry

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