BE40 CREW LNDG PBI RECEIVE CTLR'S IRE WHEN UNABLE TO TURN OFF THE RWY AT A PARTICULAR TXWY

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I WAS THE FO ON BE40 ON A FLT FROM NASSAU; BAHAMAS TO WEST PALM BEACH; FL. I WAS THE PF ON THIS LEG OF THE TRIP. WE WERE CLRED FOR THE VISUAL APCH TO RWY 9L AND WERE TOLD TO SWITCH OVER TO TWR. TWR THEN CLRED US TO LAND RWY 9L. THE PNF READ BACK THE CLRNC TO LAND AND INFORMED THE TWR THAT WE NEEDED TO GO TO CUSTOMS. TWR REPLIED THAT IT WAS W OF THE FIELD AND GAVE NO MORE INFO. WE CONTINUED AND LANDED ON RWY 9L. AS WE WERE ROLLING OUT (REALLY HAVING JUST SET DOWN AT A HIGH RATE OF SPD); TWR SAID TO TURN R AND TAXI TO THE RAMP. THE PNF THEN INFORMED THE TWR AGAIN THAT WE NEEDED TO GO TO CUSTOMS. THE TWR THEN RESPONDED TO EXIT THE RWY IMMEDIATELY AS THERE WAS ANOTHER ACFT ON SHORT FINAL. WE WERE AT TOO HIGH A RATE OF SPD (USING NORMAL TO MAX BRAKING) TO MAKE THE R THE TWR WANTED US TO MAKE. THE NEXT R TO MAKE WAS ACTUALLY ANOTHER 2000-3000 FT DOWN THE RWY. SENSING THE TWR'S URGENCY; WE MADE A L ONTO A TXWY (200 FT FURTHER DOWN THE RWY) THAT WAS JUST PAST THE ONE HE WANTED US TO MAKE A R ON. DOING THIS; WE EXITED THE RWY ONLY A FEW SECONDS LATER THAN THE TXWY THE TWR WANTED US TO MAKE. WE THOUGHT THIS WAS THE BEST COURSE OF ACTION FOR TWR AND THE ACFT LNDG BEHIND US. STAYING LONGER ON THE RWY BY TAXIING DOWN TO THE NEXT R WOULD HAVE CREATED A SIT AND SAFETY WOULD BE AT RISK. THE TWR'S RESPONSE AFTER WE PULLED OFF THE RWY WAS; DID WE KNOW OUR L FROM OUR R? THE PNF INFORMED THE TWR THAT WE COULD NOT MAKE THE R HE WANTED US TO BECAUSE WE WERE AT A TOO HIGH A RATE OF SPD. TWR DID NOT SAY ANYTHING ELSE EXCEPT TO HOLD OUR POS. THE ACFT BEHIND US LANDED AND TAXIED TO THE TERMINAL SIDE OF THE ARPT. HE THEN TURNED US AROUND AND HAD US CROSS RWY 9L AND GAVE US TAXI INSTRUCTIONS TO THE CUSTOMS RAMP. THE PNF THEN AGAIN APOLOGIZED ABOUT THE TURN THAT WE WERE UNABLE TO MAKE AND NOTHING ELSE WAS MENTIONED OF THE MATTER. WE TAXIED ON IN TO CUSTOMS AND FINISHED OUR DAY BY REPOSITIONING TO OUR FACILITY. I FEEL THAT ATC SPACED THE ACFT TOO CLOSE AND THERE WAS NOT ENOUGH SEPARATION. WE; AS THE ACFT LNDG; WERE NOT INFORMED THAT WE NEEDED TO EXIT THE RWY QUICKLY FOR THERE WAS ANOTHER ONE RIGHT BEHIND US ON SHORT FINAL. THE ONLY NOTIFICATION WE HAD OF ANY URGENCY WAS WHEN WE WERE UNABLE TO MAKE THE R TURN TWR WANTED US TO. I FEEL BETTER COM AND SEPARATION WOULD HAVE ALLEVIATED THE SIT.