As far as what happens after you cancel the transfer, I'd surmise that it would, like it says, cancel the transfer. Items already copied may remain, items that were in the progress of being copied will be removed, a process which may take a significant amount of time in itself.
If your intent is to copy/move a Time Machine backup so that it remains functional in its new location, the system has many idiosyncrasies you need to work around.
James Pond maintained a website which was a fantastic source of reference on the "gory details" of Time Machine (in his own words); he has since passed away, and the information is slowly becoming outdated, but much of it is still relevant. You can still access it on the Internet Archive's Wayback Machine.
Since you are trying to back up the entire drive, I think following these instructions would be better than trying to copy every single item file by file:
Copy LOCAL backups from one volume to another LOCAL VOLUME
- Format the new drive/partition, with either the GUID or APM Partition Map Scheme, and the exact same Format as the old backups. See question #5 if you need detailed instructions.
- Connect both drives to your Mac, via separate ports if possible, then open a Finder window. Make sure both volumes are shown in the sidebar (if not, from the Menubar select Preferences > Sidebar, and check the box to show External disks in the sidebar). Leave the Finder window open.
- Start Disk Utility, select anything in the sidebar, and click the Restore tab.
- Drag the old volume to the Source box, and the new volume to the Destination box.
- Check the Erase destination box, then the Restore button. This will take a long time.
- When the duplication is complete, note that Disk Utility has changed the name of the destination volume to be the same as the source. You do not want to leave it that way, so immediately rename one of them. In the sidebar of the Finder window opened above, control-click (right-click) the one you want to rename. When done, look back at the Disk Utility display to be sure you renamed the right one, then quit Disk Utility.