If you don't have a resident permit you will not need to get an exit visa. Exit visa's are electronic now.

The company does not have the right to keep your passport but it is common practice in Doha. Sometimes they keep it while they process your visa and sometimes they keep it longer. If you really must get back then you have to get legal advice and contact the Ministry that handles Labour affairs. They are actually not so bad especially if you are a citizen of a "western" country like Australia.