You can delete any review cycle, regardless of it's state.

To delete a review cycle, first navigate to Admin > Review Cycles.

Here you will see all the reviews you have created so far.

If you're using the grid view, you can delete a cycle by clicking the three dots in the top right and then clicking on Delete.
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Alternatively, if using the list view, you can click on the delete icon under the actions column.
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You will be asked to confirm your choice, as this action cannot be undone.

Your cycle is then deleted and will no longer show up under Review Cycles.