Shouldn’t the user see registration-cancelled webpage?
No, it’s intended that they go to the Thank You page because they’ll have the opportunity to attempt the payment there. If they’re taken to the cancelled page, they’ll have to start over again.
In which other scenario, the ‘registration-cancelled’ webpage shows up?
If you add the Registration Cancelled page to your website’s navigation menu, the end user could click that menu item to clear their registration station and start over (similar to emptying a cart).
While there are no additional special shortcodes for the Cancelled registration page, you could add a link to the page on your site that has the calendar or the event list so they can start over with a new registration.