I had the same issue, but seemed to figure out what was wrong for me. For me it was a problem with the HUD scale. If it was set to 125% You couldn’t cancel a unit or tech, but at 100% it worked just fine.
Yes I mentioned this problem in steam forums several time but no one responded. Scaling the UI above 100% makes canceling first unit/technology impossible by mouse click.
Yes this bug exists in the latest build as well.