Introduced in version 22.214.171.124
The cancel (and on hold) feature is available in Professional and higher versions of the software.
If you want to cancel orders that have already been imported (and you don't want them to be reimported) you can either use the Cancel option (from the Edit->Cancel Order menu option or right click on an order and select the Cancel Order option)
NOTE: Once an order is shipped you can't cancel it.
The automatic cancel (and on hold) batch feature is available in Premium and higher versions of the software.
If you want to automatically cancel orders before they have been imported, you can add the order number to a file and when orders are imported those orders will be cancelled and not processed. This is setup in the import dialog, in the Order Processing Tab, shown below:
For more information on how to set up the file use the following link: