In case technology permits it would probably be a good idea to have a ‘cancel’ button in the map loading screen.
My case: When I was presented with the “server full” warning I clicked a different server. Unfortunately the refresh in the server browser it’s not that fast. So it first refreshes the list and only after it acknowledges my click, which by then it was a completely different server, in a different continent.
I knew it straight away that it wasn’t the server I wanted to play in but I would either have to wait until it loaded (and only then quit to the main menu) OR press Alt-F4.
Just an idea for your consideration.