If any error pops up, I would like to cancel the running macro.
Here are the examples of errors that I generally get:
Tough cookies – it's not possible to monitor notifications – or is it? 
Maybe if you have the chops...
However – you can use error handling techniques. Here's one:
Error Management – Forced Error v1.00.kmmacros (6.7 KB)
Macro Image
Take careful notice of the options in the gear menu of the Open-URL action.
- Failure Aborts Macro must be ON.
- Notify on Failure should be OFF.
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As @ccstone says, click on the gear menu at the top-right of the Action and make sure "Failure Aborts Macro" is checked. For that particular Action "Open URL" the option is not checked by default. For other Actions it is checked by default so, you need to look.
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