There is a way to configure rules so that different execution blocks fire depending on whether the user clicked “OK” or “Cancel”. See the screenshot below.
The key is to use a “advanced condition” that always evaluates to True (e.g. 1 = 1). That allows you to add an “else” statement and you can put Actions into the Else block. With this configuration. if the user clicks “OK”, all the actions that follow the “get confirmation action” will fire. If the user clicks “Cancel”, all the actions in the “else” block will fire.
Note: this approach also works with the “Show a Message to the user” action as well if you change the message box to be a “Confirmation” type.