When creating a custom field, there is not currently a way to complete the cancelation. This has been submitted as a defect to the development team.
After clicking the "Cancel" button, on the screen, “Changes will be lost if you close”, there is only an option to "Return to Edit the Custom Field". There is no option to continue with the cancelation. See example below:
In other areas of Workfront, there is an option to complete the cancelation: