Use QUIT for PROC SQL; RUN and RUN CANCEL have no effect and generate a NOTE in the log.
I've always used RUN for EVERYTHING else and never had any issues or NOTEs generated. If you code PROC DATASETS; RUN; the procedure will be terminated by the next PROC or DATA step anyway. No harm.
But, specifically to answer your question...
Straight from the SAS documentation:
RUN-group processing enables you to submit a PROC step with a RUN statement without ending the procedure. You can continue to use the procedure without issuing another PROC statement. To end the procedure, use a RUN CANCEL or a QUIT statement. Several base SAS procedures support RUN-group processing:
See the section on the individual procedure for more information.
Note: PROC SQL executes each query automatically. Neither the RUN nor RUN CANCEL statement has any effect.