This is, actually, by design. Although the design is not a good one.

By cancelling the wizard, NCrunch will simply launch with the default settings. The wizard itself isn't required to use the product, and the cancel option can be a useful escape from needing to otherwise change settings that you wouldn't have to.

There are plans to make some major changes to the wizard, allowing you to choose between clearly labelled defaults, previously selected settings, cancel option, etc. The problem is that everyone uses the wizard differently, so the new design must cater to all use cases in a predictable way.

Unfortunately this area hasn't received much attention lately. If you like, you can create a request to clean it up on uservoice. If enough people vote for it, we can bump up the priority and get the work done sooner.

Sorry, although I understand why you would consider this to be a bug, the full solution to it requires the implementation of a number of features and a complete restructuring of the dialog. This is work that needs to be prioritised relative to other features, so I can't just slip it in as a bug fix. Many people use the cancel option as a way to set defaults from the wizard.