So, with all conversations in my post, as well as discussions outside of StackOverflow, I found, that I ask about quite fundamental issue, which haven't any solution is the Microsoft Windows architecture:
When external task started in some thread with API, and it is running, there is no way to cancel this execution, and return it to the initial suspend status, but another API (as "Cancel" in ProgressBar) made specially to return it to the Idle Loop waiting.
In other time sharing OS such a special point exists, but not in Windows.
As a result, when no Cancel API interface described, we should run another thread, possibly, from the tread pool to save CPU time in the system, and keep waiting, until unnecessary one would be completed.
Respond from Tekla developers confirm my conclusion:
"Such methods do not exist. As I wrote before, implementing multi-threading in your app could not improve performance changing colors because TeklaStructures internal code does not use it."