Hey Jon,
That's the Keyboard Maestro Status Menu in the menu bar.
And no that is not how to break from a running macro; it's to cancel all running macros in case something is amiss.
It's a very good idea to have a kill-all-maros macro:
Kill All Macros.kmmacros (1.5 KB)
Because it can be easier to hit a keyboard shortcut than use the mouse in that fashion if you have a runaway process.
You'll note inside the Status Menu there's a submenu called “Cancel” – from there you can cancel individual macros.
But. These actions are not for normal use; they are for handling runaway processes.
Be more specific about what you're wanting to do, and we'll see what might work for that.
-Chris