I am not sure whether this function is not implemented or it's just that I didn't find where it is.
It wouldn't have sense to cancel an Action block as it is considered as being part of the calling macro.
If you want to stop processing actions, build your action block to jump over those actions under certain conditions. The simplest way could be to build your block like that:
A: Do/While once (1 time)
A: all actions you have to perform
A: Exit loop
C: constraint/condition to exit loop
A: the rest of actions to perform
A: End loop
This structure can also be used with macros.