Well, since you are programming for AutoCAD, you should make your program behave the way AutoCAD user expects. Every AutoCAD user should know by instinct that hitting "Esc" break/cancel current command/operation. He/she also expects to see a set of keywords being presented as choice of next step, with a logical default keyword is set (e.g. by hitting "Enter" the default keyword is selected).
In your case, if you want you keep picking points until user either hit Esc to jump out the loop and throw away the picked points, or choose a keyword to do different thing other than picking point while still stay in the loop, or choose a default keyword (hitting Enter) to indicate point picking is completed, you only need to use PromptPointOptions and added a default keyword, something like "Done". In conjunction with the prompt message, during the loop, user would see something at command line like this:
Pick next point [Otherkeword/eXit]/<eXit>:
You then examine in the returned PromptPointresult to decide what is user input: point picked, or Esc pressed, or keyword pressed, in which pressing Enter means keyword "eXit", and you can continue or break out the loop accordingly.
There is really no need to get KeyCode using System.Windows.Forms space.