When exporting a database including data, pressing the "Cancel" button won't stop the current table being exported. It will finish exporting it and only then the operation is canceled.
Desired behavior is to stop the export operation as soon as possible, no matter if the table is left with partial data.
On the same vein, an "are you sure?" dialog is needed when canceling a big database export.
The reason is sometimes one can select a big table by mistake and the operation may take a really long time to finish (even days). When this happens the only option is to kill the program (hoping the server copes well.)