What happens when I cancel iTunes match?

Anything that isn't locally stored in your library, and wasn't purchased from the iTunes Store, disappears. As long as you don't have any content shown as located in the cloud, or what is there is purchases, then you're all good.

See Backup your iTunes for Windows library with SyncToy. Make sure you have a solid offline backup before allowing the online one to lapse.

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You will lose access to anything that you uploaded to it, so prior to cancelling it you should download anything that you want to keep