ExitComponent() and ExitComponentIteration() both exist, but I'm unsure if you'll encounter the same behaviour that you hit with Actions.
The other option with BPT is to set the ON FAILURE condition for each Component in your test.
By default it is "Continue", which means that if the Component Iteration fails, the script will move on to the next step. If you don't want that to happen, then change this option to 'Exit'.
This is done in the Test Plan module in the Test Script tab of your Business Process test, and is specified for each Component in your chain.