If you choose Yes in the box in your screenshot:
--The Work Order that you're trying to change to the Cancel status, should change to the Cancel status. (I don't recall if it does the other validations first, like checking to see if there are committed costs -- parts and/or labor -- that would prevent it from going to Cancel status.)
-- It does not affect the PM record at all. It does not change the status of the PM, it does not change the Counter, it does not change the forecast, it does not change the next due date. . .
You can, at any time, go over to the PM record and change things (like the Extended Date or the Forecast's New Date to get it to generate a WO at a time different than what it calculated). It's just that if you change the PM before changing things on the Work Order(s) that came from the PM, what you do to the WOs might affect some of the settings on the PM, especially if you change the most-recently-generated ("Last") WO from that PM and choose to reinstate.
For example, we have the PMWOGen cron task running once every morning. With that setup, if I cancel a "Last" PM WO and tell it to reinstate the PM, I know it's going to reset the PM to, essentially, be just as if the WO I'm cancelling never happened. So let's say I had a PM to generate on the first of the month every month. If I cancel the one that generated November 1st and reinstate the PM, it's kinda like when PMWOGen runs tomorrow morning it'll see this PM and think, "Oh no! This PM was supposed to generate back on November 1st, and here it is the 20th!!!! I better make a Work Order!" So therefore I know that because I cancelled that PM Work Order today, I'm going to get a new one tomorrow. Is that what I want? If yes, fine, do nothing more. But usually it isn't. Maybe we're just not going to do that PM in November. So after cancelling the November WO, I need to (manually) go to the PM record and change either the Forecast (if it exists) or the Extended Date so that it doesn't generate again until December 1.
Cancelling PM's can definitely be hairy! Maximo has made great strides over the years to really encourage you to do your PM's. I'd definitely recommend to you that as you work through these, hop over to the source PM before and after you change the Work Orders; and/or get on either a test/dev environment that you have or IBM's Maximo preview site and set up some examples there that you can play with. Look to see what changes and how it changes in different situations, until you get comfortable with it. And, further, see what you can do within your work processes to make it so you don't have to Cancel them at all. Synonym statuses, Conditional Expressions to control who and/or from what statuses PM WO's can be cancelled, looking at historical records to compare when it generated vs when it got done and therefore changing the Frequency (like your example of changing from semi-annual to annual), and, what I find to be most effective, is simply setting it to generate based on Last WO's Actual Finish. Like with your semi-annual example -- even if you kept it as semi-annual -- suppose it was set to be due June 1st, and the WO still isn't done, and it's not done on December 1st (6 months later). Unless I have a really compelling business reason, I don't want another WO to generate on Dec. 1. To me, that's just clutter. I instead want to focus on whatever bad management, supply chain problem, labor shortage, asset/location downtime & availability conflict, etc. has caused us to go so long past when it was supposed to be done, and get that existing WO done. And sure, if possible, evaluate if I really did need that PM every 6 months.