Adding "Cancel Task" Status for tasks no longer required

I ran into this document where on page 4, as a solution 2, 

Troubleshooting_Manage+a+project.pdf (workfront.com)

Solution 2
If a task is no longer needed, set the status to Cancelled rather than deleting the task.Deleting the task removes it from the project timeline, which ultimately affects the project’s planned dates and, possibly, the completion date.For example, if a task for “Review the design” was slated for 3 days and that is deleted from the project plan, then everything else in the project moves 3 days earlier.By cancelling the task, you’re simply saying “not going to do that one” and the timeline stays the same.

I have looked under settings and I do not have the option to create a "Cancel" task. I can create a task but only have three options "New, In Progress, and Complete".

How can we create an option to set a task to be canceled?