There is no reason to catch any of these messages, you could print any error message as well. But if esc is pressed, the user is aware of the action, so printing the message is redundant. *exit* should be enough, I don't know where Cancel could come from, and Break is for back compatibility, or just remnant of the old days, DOS versions, when you could break the current command with ctrl+C.
I still use all of them, break, cancel, exit, but only because I'm lazy and I always copy paste the error function.
Edit: So I was wrong. "Function cancelled" comes from pressing ESC and "quit / exit abort" comes from using (exit) function in your code. As long as you don't intend to use it, *cancel* would be enough in *error* function.