Macros running on files can't be cancelled

**Describe the bug**
On Windows and Mac, Macros running on files can't be cancelled

Both the Macros Palette and the manage Macros "Applying..." progress dialogs have a Cancel button - but clicking that does not interrupt and cancel the macro.

The example in the steps is trivial but I encountered this while I was testing Bugzilla 2785 when I was working with hundreds and sometimes thousands of files to be prepossessed with macros.

The only way I could halt/abandon a long-running macro was to crash Audacity via the Windows Task Manager. Bug given P2 rating as the user should not have to resort to such behavior

**To Reproduce**
Steps to reproduce the behavior:
1) make a folder with 4 or 5 audio files
2) Tools > Apply Macro > Palette...
3) choose the "MP3 Conversion" macro
4) Click the "Files" button
5) Select the files from Step 1
6) press the "open" button to start the macro
7) try to stop the macro with the "Cancel" button in the "Applying..." progress dialog
8) Observe you can't

**Expected behavior**
A clear and concise description of what you expected to happen.

**Screenshots**
If applicable, add screenshots to help explain your problem.

**Additional information (please complete the following information):**
- OS: [e.g. Mac High Sierra, Ubuntu 18.04, Windows 10]
- Version [e.g. Audacity 2.5.1]
- (if relevant) Sound Device [e.g. Windows WASAPI, USB Sound card]

**Additional context**
Steve Daulton wrote:
> On Linux I find that I can cancel the macro by clicking the Cancel button, though when there are a lot of small files
>in the batch it may be necessary to click the Cancel button repeatedly to make it cancel.

This was originally logged as Bugzilla 2787
https://bugzilla.audacityteam.org/show_bug.cgi?id=2787

Reproduce the issue through Tools > Apply Macro > Palette..., using the MP3 Conversion macro on several files and testing both Cancel buttons. Trace the file-processing path behind the Macros Palette and the manage Macros “Applying...” dialog; done means Cancel interrupts the macro on Windows and macOS without crashing Audacity.

Written by the indexing model from the issue text.