@Damien ******
The only reason I know of people being refused to be allowed to stamp out at the Mae Sai - Tachiliek border with Myanmar would be because you already have TWO 30 day visa exempt entries by land in a calendar year OR because you're from a country that can't bounce at that border.
As people suggested in this post, if you're denied exiting at one border, try another land border OR fly out/back in.