Connect Timeout in InternetSetOption does not work - delphi

Question

In theory connection attempt should terminate after 5 seconds. However in practice I still get infinite timeout. Is there any way to terminate connection from outside. For example I could use timer and then execute proper function to abort. Another nasty workaround would be fire thread and kill it with TerminateThread function.
function DownloadFile(URL, {User, Pass,} FileName: string): Boolean;
const
BufferSize = 1024;
var
hSession, hURL: HInternet;
Buffer: array[1..BufferSize] of Byte;
BufferLen,Connect_timeout: DWORD;
F: File;
User,Pass:string;
begin
User:='';
Pass:='';
Result := False;
hSession := InternetOpen('', INTERNET_OPEN_TYPE_PRECONFIG, nil, nil, 0) ;
Connect_timeout := 5000 ;
InternetSetOption(hSession, INTERNET_OPTION_CONNECT_TIMEOUT, Pointer(#Connect_timeout), sizeof(Connect_timeout));
// Establish the secure connection
InternetConnect (
hSession,
PChar(URL),
INTERNET_DEFAULT_HTTPS_PORT,
PChar(User),
PChar(Pass),
INTERNET_SERVICE_HTTP,
0,
0
);
try
hURL := InternetOpenURL(hSession, PChar(URL), nil, 0, 0, 0) ;
try
AssignFile(f, FileName);
Rewrite(f,1);
try
repeat
InternetReadFile(hURL, #Buffer, SizeOf(Buffer), BufferLen) ;
BlockWrite(f, Buffer, BufferLen)
until BufferLen = 0;
finally
CloseFile(f) ;
Result := True;
end;
finally
InternetCloseHandle(hURL)
end
finally
InternetCloseHandle(hSession)
end;
end;