I found out that a lot of people don't cancel their reservation at all.
Had a reservation to pick up a car at Naples Ritz Carlton at 5:00 PM. Arrived at 5:05 and counter was closed. Had to go to the airport to get a car, and complained that they did not wait the 5 minutes.
The agent told me that they have a lot of no-shows, and it's not unusual that the renter doesn't show up.
I always cancel. And in Gaucho's case, as somebody already recommended, I would pull up the reservation again on-line and it should show "cancelled".