Do you mean the armory in either Thessila or Larklast? As of now there's no armory inside of the temple yet. The cancel button is if you want to leave the armory for both cities, or you can also use the mouse right click or esc
I think you can build an armory in the temple. Same menu screen to build a library or pleasure chamber.
Maybe the armory accidentally got added in? Which would explain why it doesn't work :)
ahhh, my apologies! Armory wasn't activated yet for this one, but I'll activate it anyway at next update!
