If the Is Cancelled Order flag is set on the MSS Order Status value you are setting, then you are prompted to select a reason for the cancellation when you save the record. The prompt appears through the Cancel Order Reason dialog.
Figure 13: Cancel Order Reason
The values you can assign for the cancellation reason are defined within Order Cancellation Reason Setup.
The cancellation and reason are documented within Order History under the Order Cancelled Reason field type (see Order History Fields).