KILLED/ROLLBACK query doesn't stop running
Even if not applicable here, please be wary of runaway queries initiated from an OPENQUERY command.  These run on remote servers, and continue to do so no matter how many times the user tries to cancel from their SSMS console....these pass-thru queries will continue to run on the target server. And if, God forbid, there's a recursive loop in there, it'll keep on running until the kill command is issued from the remote server end