I think you probably got all the info you needed from Didz & John, but here's a few other thoughts:

Having your route raided is much different than having a port blockaded. First, if it's one of your home ports being blockaded, destroy the offending fleet asap, that can be a huge cash loss.

If it's a raid somewhere far away in a trade theater, that's a different story. Didz relayed plenty of details on how that works -- most likely the best move here is to tolerate it for a while until you can get a navy out to destroy it.

The third possibility is that one of your partner's ports are being blockaded, this is a bigger deal than a route raided, because you'll lose all the income from that partner. If you click the gov't icon, then the trade tab, you should see if this is the case in there, the entire line item for that country will be greyed out. The worst scenario here is the route is being blockaded by someone at war with your partner, but not with you. In this case, you have to tolerate it, cancel the route or start a new war.

So, you'll need to consider if the route is worth a war. If they have alliances or protection from someone else you are trading with, it's probably not worth losing one route for another. But in my recent campaign as the French, I kept losing money to Georgia blockading the Russian port in Crimea. I finally got fed up, declared war on Georgia, and stomped their navy. They rebuilt a few times, but mostly I'd end up facing a half stack of brigs, sloops, & galleys, which just ended up being good training.

I'd say cancelling the agreement might be an extreme option, viable only in rare circumstances. First, you'll lose the logevity bonus, which can get pretty big eventually. Second, as GB, you should have no shortage of trade routes to fill -- lots of ports in the London region and you get a new route for ever level of commercial port you build (e.g, you should not be constrained by the number of spots available in your home region.) The only cost is, those goods being raided/blockade would be reallocated to your other routes, however, I think in the long run, it would often be better to wait for the route to be clear than to lose a logevity bonus.

One final note: Pay attention to the AI moves after clicking end turn. You'll see a navy move onto one of your routes before you get the "trade route raided" notice, it is much easier to figure out where the problem is this way than tracing each of your routes later. And in the case of a home port blockaded by a party at peace with you, you won't get a notice at all, and watching the AI moves is the only way to discover this is happening.