I've prepared following code in WPF app. This code simply queries the CRM contact list and places it in the collection, which is then shown in ListBox Control.
Xaml:
<Window x:Class="WPFDynamics365.MainWindow"
    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
    xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
    xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
    xmlns:local="clr-namespace:WPFDynamics365"
    xmlns:fa="http://schemas.fontawesome.io/icons/"
    mc:Ignorable="d"
    Title="MainWindow" Height="600" Width="800">
<Window.Resources>
    <Storyboard x:Key="WaitStoryboard">
        <DoubleAnimation
    Storyboard.TargetName="Wait"
    Storyboard.TargetProperty="(TextBlock.RenderTransform).(RotateTransform.Angle)"
    From="0"
    To="360"
    Duration="0:0:2"
    RepeatBehavior="Forever" />
    </Storyboard>
</Window.Resources>
<Grid Name="mainGrid" HorizontalAlignment="Stretch" VerticalAlignment="Stretch">
    <Grid.ColumnDefinitions>
        <ColumnDefinition></ColumnDefinition>
    </Grid.ColumnDefinitions>
    <Grid.RowDefinitions>
        <RowDefinition Height="2*"></RowDefinition>
        <RowDefinition Height="6*"></RowDefinition>
        <RowDefinition Height="2*"></RowDefinition>
    </Grid.RowDefinitions>
    <!-- fa to jest TextBlock -->
    <fa:FontAwesome
        Panel.ZIndex="999" Icon="Spinner" Name="Wait" 
        Grid.Column="0" Grid.Row="1"
        HorizontalAlignment="Center" VerticalAlignment="Center" FontSize="50" 
        RenderTransformOrigin="0.5, 0.5" Margin="20" Width="100">
        <TextBlock.RenderTransform>
            <RotateTransform Angle="0" />
        </TextBlock.RenderTransform>
    </fa:FontAwesome>
    <Label Margin="0,20,0,0" FontSize="20" HorizontalAlignment="Center" Width="100" Grid.Row="0" Name="count"></Label>
    <ListBox 
        DisplayMemberPath="FullName" SelectedValuePath="Id" Name="contactList" 
        Grid.Column="0" Grid.Row="1" Panel.ZIndex="0"
        Width="300" Height="300" HorizontalAlignment="Center">
    </ListBox>
    <Button Grid.Column="0" Grid.Row="2" 
        Width="200" Height="50" Margin="0,10,0,0" 
        Name="cancel" Content="Stop downoloading Contacts">
    </Button>
</Grid>
Code:
public partial class MainWindow : Window
{
    public MainWindow()
    {
        InitializeComponent();
        Loaded += async (sender, args) =>
        {
            CancellationTokenSource tokenSource = new CancellationTokenSource();
            cancel.AddHandler(Button.ClickEvent, new RoutedEventHandler((s, a) => 
            {
                tokenSource.Cancel();
            }));
            var context = App.CRM.Context;
            CrmFactor factor = CrmFactor.Create();
            ((Storyboard)FindResource("WaitStoryboard")).Begin();
            EntitiesExplorer exp = new EntitiesExplorer(factor);
            var contacts = await exp.GetContacts(tokenSource.Token);
            count.Content = contacts?.Count.ToString();
            contactList.ItemsSource = contacts;
            ((Storyboard)FindResource("WaitStoryboard")).Stop();
            Wait.Visibility = Visibility.Collapsed;
        };
    }
}
The process of downloading contacts can be interrupted by the user. The whole contact download is done using TPL with cancellation token. Getter:
public async Task<List<Contact>> GetContacts(CancellationToken ct)
    {
        List<Contact> list = new List<Contact>();
        return await System.Threading.Tasks.Task.Run(() =>
        {
            try
            {
                list = _crmFactor.Context.ContactSet.AsParallel().WithCancellation(ct).ToList();
            }
            catch { }
            return list;
        });
    }
After a possible interruption of the operation I receive an empty list. This is OK for now, but I'm just curious if there is a possibility to cancel the operation and obtain a partial list of contacts, not just an empty or complete list.
                        
You could page the results of the query, with a small page size (1-3 I'd say) you'll be hammering the system but achieve what you want.
What I mean by hammering: if you have 100 records, you can query all of them at once normally (1 query -> 100 results: canceling leaves you empty). With a page size of 2, you'd instead query the CRM 50 times (50x2 = 100 results. Canceling leaves you with the results of however many queries you completed while running).
If you implement this, watch the network, you could end up DoS-ing yourself...