So what is the Cancel Delayed Actions?

I have seen other using "Cancel Delayed Actions", and "(cancellable)', but did never really understood what they really do. Can anybody summarize please?

I have a simple rule below. Does such a rule benefit from using "cancel delayed actions" and/or "cancellable" ?

In your case, no; waits are automatically cancelled when a rule re-triggers, which between that (motion becoming active again) and the fact that you're using a "Wait for condition: motion inactive" with a duration will take care of cancelling what is effectively a delayed action, though not an actual "Delay" in the Rule Machine sense.

An alternative way of writing this where you would have needed to use "Cancel Delayed Actions" (which only works on actual dealys, not waits, by the way) would be something like:

Trigger: Motion changed


IF (Motion is active) THEN
  Cancel Delayed Actions
  On: Lights
  Delay 0:10:00 (cancelable)
  Off: Lights

I generally prefer the "Wait for event: elapsed time" or, new in Rule 5.0, a "Wait for condition" plus a duration, over the above. However, you'll still see lots of rules written like the above, in part because that is how the Rule 4.0 docs (the last big shift in rule creation, I'd say) were originally written, and lots of people continue to follow that paradigm. Sometimes it is also nice to have control over if/when a delayed action gets cancelled. In most cases nowadays, I prefer the "Wait" behavior--and the fewer clicks it takes to get there (and the simpler triggers it usually allows you to use).