How to cancel an iCloud download on macOS X (Sierra)?

The "X" button in the "Downloading" window does not seem to work as clicking it did not cancel the process. It actually finished despite pressing the button repeatedly.

Also, where do the downloaded files go? There was no "Save to" dialog box or anything similar to let me choose the storage location. It just automatically started.

You will normally find these is ~/Library/Mobile Documents.

This is the location that syncs your iCloud files with your devices - Macs, iPads, and iPhones. It’s not a download like what you do when you select a file download link in a browser like Safari. iCloud is making a “copy” of what you have in the cloud to what you have local on your device.