Do I need to set cycle for deleting incomplete multipart uploads when my glacier deep archive object upload is cancelled?

You are billed for all storage associated with uploaded parts. For more information, see Multipart upload and pricing. So it's important that you either complete the multipart upload to have the object created or stop the multipart upload to remove any uploaded parts.

You can stop an in-progress multipart upload in Amazon S3 using the AWS Command Line Interface (AWS CLI), REST API, or AWS SDKs. You can also stop an incomplete multipart upload using a bucket lifecycle configuration.

To make sure you are not being charged for parts of an incomplete multipart upload, it is a best practice to set up a lifecycle policy with the maximum number of days that can pass from the start of a multipart upload to its completion. In the document you mention, there is an example of such policy, however, you can look at the official documentation on how to set it up.