DUN does not cancel

I have an issue with the Dial-up networking on my laptop. I'm trying to connect it to phone to access the internet when I am travelling. When I do the dial-up and it cannot connect, and I hit cancel on the tab, the connection tab disappears but the DUN still keeps trying in the background. If I look at my network connections, it shows connecting in front of the DUN icon. But I don't see the problem on my PC. when I hit cancel, DUN stops trying and displays disconnected in the network connections.

I can't figure out the setting that needs to be changed on my laptop that hitting cancel would stop DUN from connecting.