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 and "Help". 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).
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.