No, a button won't stop the running macro. It's a developer thing and control shouldn't be in user's hands by default. You can try the below combination of keys to stop the macro.
- Ctrl + Pause/Break
- Ctrl + ScrLk
- Esc + Esc (Press twice consecutively)
Sometimes, the right set of keys (Pause, Break or ScrLk) are not available on the keyboard (mostly happens with laptop users) and pressing Esc 2, 3 or multiple times doesn't halt the macro too.
I got stuck too and eventually found the solution in accessibility feature of Windows after which I tried all the researched options and above 3 of them worked for me in 3 different scenarios.
Step #01: If your keyboard does not have a specific key, please do not worry and open the 'OnScreen Keyboard' from Windows Utilities by pressing Win + U.
Step #02: Now, try any of the above option and of them will definitely work depending on your system architecture i.e. OS and Office version
You will be put into break mode using the above key combinations as the macro suspends execution immediately finishing the current task. For eg., if it is pulling the data from the web then it will halt immediately before executing any next command but after pulling the data, following which one can press F5 or F8 to continue the debugging.