I tried reproducing this issue, but the behavior I observed was correct. This is what I tried exactly:
1. Launched Tiny SFTP Server.
2. Opened SftpWinFormClient sample in Visual Studio. Started it in debug mode and connected to Tiny SFTP Server. Browserd into a directory with a long file.
3. Put conditional breakpoint at the first line of TransferProgressChanged method in MainForm.cs file with 'e.ProgressPercentage > 50' condition.
4. Started downloading the long file.
5. When the breakpoint got hit, I pressed the 'Stop' button in Tiny SFTP Server.
6. SftpWinFormClient failed with exception: 'Rebex.Net.SftpException: The server has closed the connection.'
Please give this a try as well and let me know whether you got the exception or not.