The games that can be purchased directly from the Kalypso shop are always Steam games and therefore downloadable digital content. Digital content is also subject to EU cancellation policy. This cancellation right applies until you specifically renounce it and make use of the service. In the case of downloadable content, you make use of this service as soon as you redeem the activation code in your Steam user account and download the game. (Also see Steam refunds)
This means that you can cancel the order and get your money back as long as you have not redeemed the activation code through Steam. Please note that you cannot be reimbursed once the Steam activation code has been redeemed. You can find out more in the Terms of Sale and the cancellation policy.