All is well - the actual rule in the booklet is:

There is no retreat for an army attacking from the sea in this fashion, so they will be captured if they fail to take the target province
You are okay if you decide to cancel the attack at the pre-battle screen - look at it as if they look at the shore and turn round the ships without landing. They haven't reached the point at which the rule above comes into play.

If, however, you start the battle and then decide to hit 'esc' and not deploy, that WOULD count as a retreat, and they will be captured, same as if you fought the battle and lost.

So, in short, cancelling the attack does not entail an actual retreat, so the army survives (although your general risks becoming 'hesitant'.)