Thanks for the report.
Esc should be the standard keyboard equivalent for any "Cancel" or "Stop" button, and any "Cancel" button should close the dialog it's part of. I don't mention that in the specification because I assume everyone knows it already. ;-)
For the overall settings window, Ctrl W should close it. I've just added this to the specification. <https://wiki.ubuntu.com/Networking?action=diff&rev2=63&rev1=62>