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To be perfectly clear, what will happen when you close the browser window is a bit different but not fatal in any case :) The backup step currently in progress will run to completion. However, since there is no browser listening to the step completion message the backup won't move forward. This means that the backup remains "Pending". About three minutes after that the pending backup is considered "too old to really be pending". So the next time you visit the Control Panel page, the Manage Backups page or start a new backup this "too old to really be pending" backup is marked as "Failed".

I wanted to clear this up in case you're wondering why "some" backups are Pending "forever" and "some others" are "immediately" Failed. Now you know: there is a process and a time limit before a backup is marked as pending when you kill it. You also know why a temporary Internet connectivity issue might kill your backup: the browser won't hear the backup step telling it is finished which is the exact same thing as closing the browser window.

The reason I've not put this information in the documentation is that I consider it too technical. Besides, most people instinctively close the browser window when something bad happens in their browser, pretty much how most people slam on the brakes when their car is doing something they didn't mean it to :)