Check for cancel earlier in file download process

[jmklix]

Issue #, if available: N/A

Description of changes: Check for cancel earlier in file download process

Check all that applies:

• [X] Did a review by yourself.
• [X] Added proper tests to cover this PR. (If tests are not applicable, explain.)
• [X] Checked if this PR is a breaking (APIs have been changed) change.
• [X] Checked if this PR will not introduce cross-platform inconsistent behavior.
• [X] Checked if this PR would require a ReadMe/Wiki update.

Check which platforms you have built SDK on to verify the correctness of this PR.

• [X] Linux
• [X] Windows
• [ ] Android
• [X] MacOS
• [ ] IOS
• [ ] Other Platforms

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