Starting with CS4 and later, the way to check if the user has cancelled the export is to call exportProgressSuite->UpdateProgressPercent(), and check the return value. If the return value is exportReturn_Abort, then the export has been cancelled.
Note that the exporter can still continue to ask for video frames and audio samples after a cancel has been received, which is useful in certain circumstances, such as if an exporter needs a few more frames to complete an MPEG GOP, or if it wants to include the audio for the video exported up to the point of cancel. This allows the exporter to generate well-formed output files, even in the case of a cancel.
The SDK exporter sample currently only demonstrates the pause case by checking for suiteError_ExporterSuspended, so I am adding support for exportReturn_Abort to the exporter sample for the next SDK release.