I have added a post here which describes how to add a .cfg file to boot Kali with Persistence.
agFM seems to have a small problem when the findiso parameter is used. It seems to 'lock' a partition and this causes Kali to not shutdown. The persistence file seems to be saved OK, but it won't then turn off the system or restart it.
This also occurs if you just boot the Kali ISO using agFM (without persistence) and choose the 'Debian - Debian Live' boot entry (which also uses findiso=).
I cannot report the issue as a1ive's grub and grubfm project seem to be in 'archive' read-only status recently.