You could customize that panel (library is SO_SalesOrder.M4L and panel is dCancel) and hide the Cancel button and the OK button, then create a custom button to place where the original OK button is and then use a script to check if the cancel reason is blank and display a message saying it is required, if not blank, then you would call oUIObj.BT_CancelOK.  This unfortunately won't stop them from being able to click the X button on the title bar.  You may not need to hide the Cancel button but as far as I can tell, clicking Cancel doesn't stop the deletion of the order, so not really sure what it is doing other then just not setting a cancel reason in history.

You could customize that panel (library is SO_SalesOrder.M4L and panel is dCancel) and hide the Cancel button and the OK button, then create a custom button to place where the original OK button is and then use a script to check if the cancel reason is blank and display a message saying it is required, if not blank, then you would call oUIObj.BT_CancelOK.  This unfortunately won't stop them from being able to click the X button on the title bar.  You may not need to hide the Cancel button but as far as I can tell, clicking Cancel doesn't stop the deletion of the order, so not really sure what it is doing other then just not setting a cancel reason in history.

This is what I remember, but I am not sure if this was the final solution.  UDF with scripted validation to the reason code list (or UDT validation for mirror values). Then Pre-Delete script to ensure the UDF is not blank, then write the value to the reason code field during the deletion.  If UDF is blank, SetError.

I think I had to disable the prompt for this to work... IIRC the Sage UI programming for setting reason code wouldn't work with the Pre-Delete script.