Like I said, the definition of 'Cancel' is to close w/o execution. If you are executing an event handler, you are not, by definition, doing a 'Cancel' because you are executing code. I agree that from the user perspective, it may look like a 'Cancel' but from the program perspective, it is not.
Hopefully, someone will come up with a way to use the ESC-key even though it is not a 'Cancel' so that the end-user can think of it as a 'Cancel'. If not, you might consider opening an Idea and see if there are others interested in this so that CA would see if this could be changed.