I'm running a query as statement (i.e. F9 or using the green arrow icon.) Why does the cancel query icon never light up?
If you check you setting under View | Toad Options | Oracle | General, you will notice that the "OCI Array Buffer Size" is set to 500. This means that running your query as statement will only return 500 rows at a time. The Data Grid will fetch the other rows as you scroll through the Data Grid. This could be really quick, which means the cancel query icon lights ups only for a split second.
Try increasing your "OCI Array Buffer Size" to 9999. This would cause Toad to return more rows, which means the cancel query icon will stay lit longer.