I'm new to BlackBerry myself, but that is one feature I miss from my old WinMo phone. But, as far as I know BB doesn't have this feature. I think there are some 3rd parth apps that do do that though. Also, I have a feeling that you couldn't force quit BBM anyway, because it's a core process and boots with/ is integral to the phone's operation.
Posted from my CrackBerry at wapforums.crackberry.com