To delete an MDF Request, the status must be set to the "New Request" status in your approval workflow. You can change the status of a Request using the "Change MDF Request Status & Assignment" action on the MDF's Details page. This will clear any allocated amounts associated with the Request. 
MDF Request Details Page - Change Request Status
Once you've updated the status, the "Delete" action will appear in the Actions menu. Click Delete to permanently delete the MDF Request.
MDF Request Details Page - Delete Request