Thanks Tom,
I'm still missing something because after adding a failure rule it doesn't fire. I added a simple rule to DISPLAY MESSAGE, but when I cancel, no message.
From the User's Guide:
NOTE: Process failure rules are also executed if a process has been canceled by the user. For example, if a process calls ENTER NEW action the form of the object will be shown to the user. If the user clicks on the Cancel button on the form, the process will be canceled and the failure rules (if any) will be activated. In this case no special predefined object describing the failure is written into the context.
This seems like exactly my situation, but the failure rule does not execute as this would imply.