I've worked out where I've got confused. If you use the icon near the timeline to convert/export the dialog box with the progress and the cancel bar remains open.
If you right click on the clip from the clips box, select Convert/Export you end up with a progress bar under the clip but no obvious way to cancel it. I've now worked out that if you right click and select Convert/Export again it cancels the in progress export. The menu item should rename it's self to "Cancel Export" imo.