Once ATC approves cancellation, you are no longer in controlled airspace under ATC direction. You must now navigate, maintain terrain clearance, and avoid other traffic on your own. You have essentially returned to VFR flight, albeit at an aerodrome where you are still being processed by ground control for runway exit and taxi.
If you do not request cancellation and continue to communicate with ATC, you remain under IFR rules. This is useful if the weather remains marginal or if you want ATC guidance for taxi and parking.