exactly ... in cakewalk and many other sequencers when you hit stop it really stops. The nature of MIDI is it sends a note on, then on the release it sends a note off message. So, if you were holding a chord in the part where you hit stop the chord will ring out forever because you never sent your synth a note off message so it just assumes you intended to hold that chord for the rest of the day.
The panic button mentioned is what you need. Or under the Real Time menu select Reset. It might be nice if you could set something to do this automatically when you stop in the middle of playback, but to my knowledge there's no such feature (and there are reasons why you would not want to do this, so it would have to be optional.)