Why I received the "Cancellation Rejected by the Order Management System"?

This message was generated by the broker's Order Management System (OMS). It appears when a request is made to cancel the order that was filled by the market microseconds after the cancellation message is received by the broker. The broker is not able to cancel the order and sends a message to the NinjaTrader to display to the user. To avoid this type of situation, the recommendation is not to try to cancel an order that is close to the price (BID/ASK), because when you do this on the leader account Replikanto will submit the cancellation request to follow-on orders that may have been filled by the market before the request is filled. That's what happened in your case.

You can also use the Follower Guard feature to flatten the follower account if a reject message is received by the broker.