From Microsoft dialog boxes UI guidelines....
"Clicking Cancel means abandon all changes, cancel the task, close the window, and return the environment to its previous state, leaving no side effect."
"Provide a Cancel button to let users explicitly abandon changes. Dialog boxes need a clear exit point. Don't depend on users finding the Close button on the title bar."
"Make sure the Close button on the title bar has the same effect as Cancel or Close."
It looks Nadella hired some friends from India used to perform online scams to write GWX.... someone who never read Microsoft own UI guidelines.