Neither NCSoft nor PlayStation have made any announcement about a Horizon MMO, much less its cancellation.
While the Horizon franchise may ultimately end up not getting an MMO, players can instead check out the single-player offerings, including the recent remaster of the original Horizon Zero Dawn.
More recently, the PlayStation has reportedly cancelled development of unnamed titles at Bend Studio and Bluepoint Games.
The cancellation might have been a part of the larger trend at PlayStation of shutting down development of live-service titles.