There is no built-in "cancel" or "your shipment is delayed" status in a default installation of Zen Cart.
Thus, it sounds like those are things you've added.
Also, there are no automatic emails based directly on a specific order-status. The email is based entirely on what you type into the order-comments field when you are updating the status.
If you want to augment the order-status screen and add your own pre-defined email default text strings, you can write your own custom code into the admin orders.php file.
There was an old addon for older ZC versions that did something similar to that. Unfortunately its name escapes me at the moment; it's been 5+ years since I saw it. It required a lot of work to customize the messages though.
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