It is possible to cancel a pending order by going to the Order page. Find your order and click Cancel.
In the New SaxoInvestor - the header Active orders can be found under the Portfolio.
In SaxoInvestor - The Orders page can be found by going to Portfolio > Show account > Orders
In SaxoTrader - The Orders page can be found by going to Trading > Orders
In SaxoTrader for desktop - The Orders page can be found by going to Add Module > Trading > Orders