From Multiplayer testing:
A minor design issue is the lacks of an escape button after taking connect from the first multiplayer screen. If you put in the IP address to connect and no connection is made there does not appear to be a way out unless you stop the game in Task Manager.

Did you try the Escape key? It worked for me. Or maybe it's just the new build that fixed it.

Yes, the new build and glad we can take it off the list. I seam to recall this noted before.