If a consignment is submitted and then needs to be cancelled, there is a Cancel Consignment option on the action bar of the consignment card.
If the Shipping Agent has the capability to cancel a consignment via an API call then this will be completed and the consignment given a status of unsubmitted. You will get a message saying either not supported, successful or failed.
Note that for Agents that do not offer this capability you may still need to use their web site to cancel a consignment.