Imagine this. You are in a foreign country where you don't really speak the language and are walking down a street. On this street there are many shops to choose from though you can't really understand the name of the shop or what each one sells. Maybe you are on this street for the first time and are feeling a little adventurous so you decide to go into one that you think might be interesting. You open the door and are surprised to see that it sells "widgets". You are not interested in widgets. In fact, you find them slightly mysterious and are afraid of them in general. What do you do?
Most likely you would turn around and walk out the door. Now imagine that you turn around and the door you just came in is gone. You have no choice but to progress forward through the "widget" jungle hoping that you don't hurt yourself or someone else in the process of trying to find the exit. Finally you find your way out and head up the street.
This isn't a totally unrealistic scenario in the real world. I have been in some stores where you walk in the font door and are force through what seems to be a maze in order to find your cheese... I mean exit. For some reason, it always seemed to be office supply stores that were set up like this. I haven't been in this kind of store in quite some time perhaps because someone realized that users...I mean shoppers, don't like to feel trapped or not in control of what they do next.
Users of software are no different. They like to feel safe while using an application. They also like to feel like they can explore it without "hurting themselves". Giving the user an escape route in the form of a "cancel" button reassures them that it is ok to go through the next door and that they can always turn around and come right back through it if they desire.
Taking away that feeling of safety on one screen can have dramatic effects on the way they use every screen going forward.
One other thing to keep in mind is you need to make the escape act consistently on all screens. Don't make it take you back one step in some cases and take you back to the beginning in other cases. Once you make that mistake the cancel button starts to seem like a roulette wheel in which the user will have no confidence.