If you start the command, and then don’t select anything, but escape to cancel, you get this:
If you preselect some objects and then just hit OK in the dialog, it creates the shrink wrapped objects, but does not finish the command - it continues to ask you for ‘options’:
Hitting Esc at that point cannot cancel the command.
If you hit Enter instead of Esc after the above, the dialog comes back up and if you hit OK, it continues in an infinite loop. Only Cancel quits.