It is possible to cancel a pending order by going to Orders page. Find your order and click Cancel.
In SaxoInvestor* - The Orders page can be found by going to Portfolio > 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
Note:
*SaxoInvestor is currently available in Belgium, Denmark, France, the Kingdom of Saudi Arabia, the Netherlands, Poland, Qatar, Singapore, Switzerland, the United Arab Emirates, and the United Kingdom.