It is required to configure Cron schedules. Make sure that Magento's /cron.php is called every 5-15 minutes. Ask your hosting provider for help. See cron settings in Magento via System > Configuration > System > Cron (Scheduled Tasks).
How It Works
Automatically cancel pending (unpaid) orders by using a cron schedule action. Specify your payment methods and their desired order statuses. Set different periods for each status.