Queries are not killed even if the client sends a cancel request

I have different behaviors when I try to cancel the following queries:

SELECT COUNT(*)
FROM
	(SELECT * FROM my.address) as x1,
	(SELECT * FROM my.address) as y1

and

SELECT COUNT(*)
FROM
	(SELECT * FROM my.address limit 10000) as x1,
	(SELECT * FROM my.address limit 10000) as y1

where "my.address" is a table with around 20000 rows in MySQL.

The first query is immediately cancelled but the second one continues to run until the end and it is never killed.

Looking at the generated plans, the main difference is that the first query is fully pushed down to MySQL while the second one is not.