Amazon.com clearly states (see the original text
here) as follows:
Quote:
Any content you purchase for Kindle from the Kindle Store is eligible for return and refund if we receive your request within 7 days of the date of purchase.
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This is great.

Knowing it keeps myself off from worries about wrong purchase. This
return process works for contents bought both on Kindle device and on PC (web browser.)
For the original question, I believe the "cancel" button is only shown immediately after "buy" in a content on a Kindle, and once we go to other screen (say HOME), we can't see the cancel button again. However, I don't think the timing depends on the completion of the download.
I belive I too saw the same "You can also cancel accidental purchases..." stentense when I manually returned. I guess the customer service people always copy-n-paste it when processing manual returns.