I agree, and while its not a true "bug", it could be considered a logic error. This is my first time using Leadwerks, so I don't know if cancelling was actually a feature in earlier versions or it new and has not be implemented.
BTW, does Microsoft have thread support added to their standard? I know they are behind on their complier and don't have all the C++11 standard implemented like lambdas. Poor Lambdas...