Rutlet if the trade route was initiated by 'the other party' you will not be able to cancel it. If its YOUR trade route you should be able to cancel it. 

The trade routes in question are initiated by my civilization. They began life as regular trade routes and were upgraded to slave trade routes via the malevolent ideology tree, if that makes a difference. 

I am uploading a video in case it answers the question better. While it does not come through the audio on this video, when the mouse pointer hovers over the "Cancel Route" button there is much mashing of the mouse button along with gnashing of teeth. All to no avail, alas.

Yup, I have already gone and submitted one. Thanks!