Toad has some strange functionality when it comes to errors or in this case just cancelling your query. I like MS Query Analyzer where you cancel a running query and you are left just looking at the results. With Toad, the default is a nasty error popup message you have to click to get rid (you can check to prevent this useless error message from causing a popup again), but then it also pushes you to the message tab so you can also see the "error" that "user cancel query". Then you have to click to the data tab to see your results.
Why call this an "error" and put in error handling? Isn't it possible you realize you got enough information on the query, or you notice it running slowly, so you just want to cancel it and look at what you got? Why create extra unnecessary mouse clicks?
Contrast that with when you login a connection with expired or bad credentials. There is no error popup when you'd want one! Instead in the bottom left corner of the app window, in tiny tiny text, you'll see your login error, not in a window but camouflaged in the app frame itself. The text appears for, oh about 5 seconds, then promptly disappears, leaving an unwary user unsure what happened and pre-dispositioned to click connect again, and probably lock out their account.