Einstein said that repeating something that doesn't work and expecting a different result is the definition of insanity. So that is what I do.
(My mother met Einstein twice while she was a student at Pasadena City College in the 1930's. The 20" telescope he dedicated there, a 1/3 scale model of Ritchey's 60" telescope on Mt. Wilson, is now surrounded by high intensity parking lot lights.)
With my infinite loop (no message box) macro running, I hit ESC. Up comes a dialog box whose choices are CONTINUE, END, and DEBUG. CONTINUE works as advertised-- the macro continues running. DEBUG also works as advertised-- you enter the debugger, and when you close it, you are back to you spreadsheet with the macro no longer running. END is the interesting case-- most of the time it results in the macro continuing, but occasionally, if the angel of fate is smiling on you, END will actually end the macro as it is supposed to do. Sometimes I get the desired result with just a few Esc, END sequences, and sometime I have to do it fifty or more times. But it eventually happens. It's probability thing, but I have not yet estimated the success rate. Most likely it depends on what the macro is doing (in my case a gigantic simulated anneal optimizer.) Sometimes I lose my patience and get out through the debugger.
So Einstein may have been wrong. If Esc / END does not work, keep doing it!