Hey Brian,
I don't have a solution to your problem, but get the same cancel error when I run my scripts. my script imports a dwg then does some stuff to the scene, then exports. In my case it only happens when I remote into the machine using Windows Remote Desktop. The machine is using Windows 7. the scripts worked fine before.
FWIW I don't have a progress bar in my script, but the progress bar shows up on dwg import by default in my case.
This happens constantly when I open up two instances of max and run the scripts.
What version of Max and windows are you using? I am using Windows 7 64 bit and Max 2010 64 bit.