So the question with the lack of a cancel button is: how do you teach (or remind) the user that the dialog box is closed. I think the answer is to standardize the ways boxes and windows can disappear. So a box being hidden by a window (the other likely possibility when clicking outside the dialog) should disappear differently from a box being dismissed. Presumably the style of dismissal disappearance would be similar in style to what happens to a window when its application has closed. Some small animation might be appropriate.