The "I/O canceling" is a feature that file loaders can use... basically Fusion might load/prefetch frames before they are actually needed. This can end up in a situation where while the frame is still being "loaded" you skip to another frame and Fusion realizes that the already scheduled frame will not be needed anymore. A file reader can thus check inside it's loading routine whether it is still supposed to continue reading that frame. For example, if you have compressed frames the loader might first load the compressed data from the file and then, before starting to decompress it, check whether it should still go on. So basically by enabling that option you allow Fusion to "cancel" frame loading half-way through. I honestly have no idea why you would even want to switch that feature off (unless you're a developer trying to find the cause of a crash).
The Direct reads will bypass the operating systems disk cache. Normally when a file is read the OS reads it into memory (RAM) and the app reading the file gets it from there. This has the advantage that when an app reads the same file twice there is a chance that the OS still has the copy in RAM and can deliver the data from there instead of reading it from disk again.
In case of working with EXR files it would depend on how exactly the EXR loader is written whether these two settings make a difference or not. In case it is just using the more or less high-level reading routines from the OpenEXR SDK then these settings will probably have no effect anyway.
Whether Direct reads are good for you or not depends on the usage pattern. For final rendering I'd say use Direct reads, since Fusion will probably need to read every frame only once anyway, so no need to waste RAM by keeping a copy of that frame in there. For scrubbing around in a comp. and changing paremeters on nodes it might be faster to have it off. Fusion has it's own caching, but that cache gets invalidated once you change parameters on the nodes. So a loader might have to "load" a frame again because you changed any of the loaders parameters. With Direct reads disabled there is a chance that it will get the file data from RAM instead of having to read from disk again. But with fast SSDs that difference is a lot less noticable now, of course.