Learn German: Es ist schade, dass ich das Abo kündigen muss. - It is a pity that I have to cancel the subscription.

Because of the word dass (that). The word dass starts a subordinate clause, which acts like a magnet pulling the conjugated verb (muss) to the very end of the sentence. Normally, you would say Ich muss das Abo kündigen, but here muss gets pushed past the infinitive verb kündigen.

Is Abo a complete word, or is it short for something?

It is the extremely common short form of das Abonnement (the subscription). Just like English speakers might say sub instead of subscription, Germans almost exclusively use the short form das Abo in everyday conversation. Because it is a noun, it is always capitalized.

Does schade mean the exact same thing as sad or bad?

Not quite. Schade specifically means a pity or a shame. When you say es ist schade, you are expressing mild regret or disappointment. If you want to say something is genuinely sad, you would use traurig, and for bad you would use schlecht.

This lesson is about using ab (starting at) for future events. Where would I put it in this sentence if I wanted to say starting next month?