Press the back button on your device or just tap outside the dialog to dismiss/cancel it. That is how most dialogs work on Android. The Apply To options do not toggle on/off - they immediately execute logic when pressed that updates the database for every song you applied the changes to, modifying their settings. It's not really designed to be a toggle.
I'm a little confused by your last question - all pages are stacked vertically when using the vertical scrolling display mode. You can't have songs separated in that display mode - there is no support for that. If you want to use the vertical scrolling display mode in that way, you'd need to uncheck "Always Load Whole Setlist", check "Automatically Load Next Song", and then each song will be loaded individually but when you page past the last page in the song, it will switch to the next song.
Mike
I'm a little confused by your last question - all pages are stacked vertically when using the vertical scrolling display mode. You can't have songs separated in that display mode - there is no support for that. If you want to use the vertical scrolling display mode in that way, you'd need to uncheck "Always Load Whole Setlist", check "Automatically Load Next Song", and then each song will be loaded individually but when you page past the last page in the song, it will switch to the next song.
Mike