It is possible to cancel a pending order by going to the Order page. Find your order and click Cancel.
In SaxoTraderGO - The Orders page can be found by going to Trading > Orders
In SaxoTraderPRO - The Orders page can be found by going to Add Module > Trading > Orders
In SaxoInvestor - The Orders page can be found by going to Portfolio > Show account > Orders
Example on SaxoTraderGO