Joys of cancelling a TBB task group

A Blender issue #152467 (“File Browser thumbnail cache broken with large amount of images”) reminded me to write this up. This particular issue is a (documented) surprise that when you have a parallel_for in TBB, some of the loop iterations might not execute at all, if the task group gets cancelled.
Similar to C++ exceptions, the effect is “global” - something might throw an exception, and now a completely unrelated part of your code needs to be aware of that possibility, even if you don’t want to.