You must leave the direct debit and allow O2 to take the payment. Otherwise the system will mark it as a default and cause you more problems.
O2 will refund you 14 days after payment is taken (they will, for sure) so that is the best way to deal with it.
Also, make sure you call back to confirm the contract is cancelled, in a few days time.
I have no affiliation whatsoever with O2 or any subsidiary companies. Comments posted are entirely of my own opinion. This is not Customer Service so we are unable to help with account specific issues.
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