I want to Exit Sub if my Function procedure (Colvalidation) doesn't find a column from the array below. 
I know it's impossible to End Sub within the Function, and I have no idea how to handle it. Could you help me with that?
Sub test()
(...)
    'Check if "Earnings", "Deductions", "Employer" headers exist
        vals = Array("Earnings", "Deductions", "Employer")
        vals = Array("Earnings", "Deductions", "Employer Paid Benefits and Taxes")
Set myRng = Worksheets(PayrollWS).Range(Worksheets(PayrollWS).Cells(MyR, 1), Worksheets(PayrollWS).Cells(MyR, 25))
For Each val In vals
    Colvalidation myRng, val
    If ColFound = False Then 'error = "Variable not defined"
    Exit Sub
Next
(...)
End Sub
Function Colvalidation(Rng As Range, value As Variant)
Dim rngX As Range, ColFound as Boolean
    Set rngX = Rng.Find(what:=value, lookat:=xlPart, LookIn:=xlValues)
    If rngX Is Nothing Then
        MsgBox value & " - Column Not Found" 'if column not found, Exit Sub after MsgBox
        ColFound = False
        Exit Function
    End If
End Function
 
    