When Canceling a Light Bake, UE still performs a full Reflection Capture which is a waste of time - the light bake was discarded. It takes forever for the engine to calculate the reflections for a canceled light bake, which undermines the benefit of canceling. For instance, I canceled the light bake at 0% because I wanted to change it to use GPU Lightmass, but still had to wait for all the reflections - this is unnecessary.
The Reflection Capture should be canceled along with the Light Bake.