There are various ways to cancel a dialog. Only checking for
RESPONSE_CANCEL is not sufficient. e.g. Esc causes a delete-event.
* Gtk::RESPONSE_CLOSE
* Gtk::RESPONSE_REJECT
* Gtk::RESPONSE_DELETE_EVENT
* Gtk::RESPONSE_CANCEL
* Gtk::RESPONSE_NO
Among others this fixes "Clicking session > open,
then hitting ESC opens the currently selected folder and session"