Open the activity type's Upcoming tab, tick the sessions and click Delete. You can cancel up to 10 sessions at a time, as long as they have no payments.
How to cancel several sessions
Go to Play → Activities → Types.
Click the activity type.
Open the Upcoming tab.
Tick the sessions you want to cancel (up to 10).
Click Delete.
Confirm.
Good to know
Only sessions without any payments can be cancelled this way. If some can't, the dialog lists their dates. Cancel those one at a time from Calendar → Schedule, where you choose refunds.
The sessions are cancelled, not erased. They show as cancelled by the club.
You can only select sessions from one activity type at a time.