Sincerely I would have to agree that it's seems a bit excessive the 
`cancel_on_error`, unless it enabled by default and implemented in the abstract 
class it should probably not be included, that was just an idea to keep 
backwards compatibility.

I will personally simply add subclass of my prefered executor with the 
following for my particular use case:

    def __exit__(self, exc_type, exc_val, exc_tb):
        self.shutdown(wait=True, cancel_futures=exc_val is not None)
        return False

Again, I think aborting futures on uncaught exceptions make sense, but it would 
break backwards compatibility.
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