When the installer is running and is processing the Install Pack to write the files to the disk, cancelling the process by clicking the close window button at the top right of the window brings up a dialog asking if you are sure that you want to cancel the installation.
If you select "Yes", the installation is cancelled and the directory that the software was installing to is removed along with all its files and sub-directories.
This is not really acceptable in that the user could, for example, realise that they have chosen the wrong directory to install to, cancel the installation and consequently lose data and directories.
You are right, this behavior can cause problems.... This will be fixed by somebody for version 4.0.0.
If you have time, could you please investigate and make a patch?