Feel free to suggest a better wording.
Though in general, this is an SCP only thing. Why do you even use SCP? Why don't you use SFTP?
@martin: If it's true, it is not clear reading info from transfer dialog box :)
It looks like a misunderstanding. The "finish current transfer" means to carry on with the transfer of the current file (e.g. to finish it) and cancel the transfer batch only after that.
After starting file transfer it is not possible to cancel it. When we click on red "X" we see dialog with four options:
Yes – cancel and close session
No – finish current transfer
Cancel – to continue
After click on No button the transfer is continued (not finished) and the red "X" (on the bottom of the transfer window) change status to "disabled" (not able to click it again).