Cancelling or going back on step 3 of importing memberships stills shows a warning to backup the DB
Hitting either the cancel button or the previous page button stills shows a warning to backup the DB which looks like it is going to import the memberships. If I hit cancel on this dialog then it just disappears. If I hit OK it appears to attempt to import and shows a progress bar but in my testing nothing was imported. There is no safe way to exit this screen except to close the browser.
I also notice that on this demo site (5.3.1) that was set to use French that the dialog message is in English.