Yeah, you don't need a whole life policy (also known as "universal life insurance") if you have life insurance elsewhere. Maybe you'd want term life insurance, but definitely not whole/universal. Can you cancel the policy? If you've only paid for it for a short time, no big deal. Chalk it up to a learning experience.
Many people have life insurance via their employer, but keep in mind that these policies usually only pay out a fairly small amount. The amount of TERM life insurance you want to carry in addition to an employer policy varies and would be based on what your financial responsibilities are (dependents). For example, husband and I don't have children, but we still carry additional life insurance so that if one of us dies, the other would have options (invest the full amount to make up for the working years of the spouse, retire early, change careers, etc.).