Good to see you here in the Community. I can provide clarification regarding the payroll process.
I'm happy to tell you that you don't need to do anything else right now. Either you click the Exit (X) icon or Finish payroll button, the paychecks will still be created after you preview and submit the payroll. For additional insight about this, you can check out this article: Create paychecks in online payroll
That should do it. Please keep in touch if there's anything else I can do to help you succeed with QuickBooks. Have a great day!