Cancel on connection does not work, the thing hangs

Ver 7.0.0...

Try to connect to server that is unaccessible, forinstance port 3306 is closed, cancel does not work, you have to kill HSQL.

No, you just need to wait until you reach the timeout (30s in most cases). Some slow connections really need several seconds to establish, I have seen a slow server which took 20s. So, please a bit of patience, man.