Check the connections on the back of the gauge cluster and on the flasher module socket in the relay box. The Blue/Green wire from Pin 21 on the cluster going to Pin "I" on the flasher module carries the signal that causes auto-cancel. Possibly contact corrosion at either end is causing your issue. While you're at it, verify that there is continuity between these two pins.
If you do have continuity and cleaning the contacts doesn't return the auto-cancel function, the problem will be inside either of those units (cluster or flasher), meaning you'll have to do some surgery to check.