To be honest, you don't even need to cancel, just don't pick up the car. When you book your car with Costco, you don't prepay or give a credit card number, just your costco number.
We used costco travel to rent a car last week. It was our first time using Costco and I was also skeptical that there would be some sort of charge because the rate was so low.
Not only was the rate the exact same, they bumped me up to a luxury car because they were out of full-size cars. So, we got a luxury car for 8 days for $96.45 (not a typo) My prior booking, that I thought was a good deal, was for $280!
I chose Budget through Costco and the only downside was that I did not get to choose my car like I would at National. For those kind of savings, I don't care about what car I drive as long as it is the same class or above.