having a mission cancelled is not something you need to be warned about. if you don't hear it elsewhere, you do it once, and you'll remember. there's just certain things in the game they don't tell you everything about... like how some traps in missions can cause you great harm.
another way to look at it... pushing panic is effectively like dying. you go home, you lose about half your silvers and your insurance if you have insurance... all silvers and items not on your person if you don't. and if you die in a mission, or after you're done it but before reporting to the king for a reward, the mission is cancelled. so it makes sense that panicking from in the mission will cancel it as well.
--jason