If you start hosted-engine --deploy in a terminal, you can stop it by hitting ctrl-c.
If you start it from cockpit UI there's no way to abort the setup once started.
1. Install rhev-hypervisor7-ng-4.0-20160609.0.x86_64
2. Start Hosted engine setup through cockpit
3. Cancel setup through cockpit
1. Hosted engine setup can be stopped.
So this issue is fixed now.
oVirt 4.0.0 has been released, closing current release.