If I hit "Cancel" in the pinentry window the behavior is the same as hitting "OK" -> the second pinentry window comes up.
After hitting "Cancel" again an error window comes up:
Which is not the same as the one when hitting "OK" on empty passwords:
The message seems to depend on the input given to the first pinentry window.
I would expect that the second pinentry window would be skipped when choosing "Cancel".
Additionally I'd expect a more userfriendly error messages in both cases.